Bookshelf speakers for small room

Regarding your Sennheiser HD800S, I would start by trying a tube headphone amp. The Atom itself is not exactly the bees’ knees as a source. You know the story: trash in, trash out. If anything the Senns are very transparent and tell you that your source and amp are not up to scratch. If you are not ready to invest in the above I would just consider a lesser headphone - HD650 from the same company for instance. 
Expensive, but you can find them much cheaper ex demo, the WA TuneTots are still my go to for small rooms, boundaries etc. Raidho also perform splendidly near field but they also cost top dollars. 

The newer Martin Logan 15’s have great reviews. Crutchfield had a pair in black on sale for $498. They are $800 speakers.

All Harbeth’s sound good at low volume. I owned a few different models and I always had a good listening experience at all volumes.
You might also consider the Vandersteen VLR CT if you can audition them somewhere. It’s important to listen to any speaker you want to buy before you pull the trigger. Good Luck!

https://www.vandersteen.com/products/vlr-wood

I recently purchased a used pair of Sonus Faber Concerto bookshelf speakers and I'm very happy with them.  I agree, it's always a good idea to listen before buying.  Good luck.  

I think Harbeth is a good choice.  When you mentioned near field, a coaxial speaker also came to mind.  And last, I have the Fritz Carrera BE’s and they sound really good at low volumes.  I have them paired to a Belles Aria and Schiit Gungir.  I do quite a bit of listening late at night at very low volumes and the Carreras sound great. Very well balanced with regards to freq response from top to bottom.  
I’ve heard a ton of speakers and for what you are describing, I’d say Harbeth or Fritz are 2 really good choices.