Does high volume collapse soundstage depth?

probably right if played very (too) loudly

most systems in room have an ideal volume (or a defined range of volumes) for proper imaging to be perceived from the main listening seat, this is affected by many factors, but mostly the dispersion pattern of the speakers being employed

even at a symphony, one’s seating position can have a vast effect on the perception of the sound’s source and perceived ’image’ even when the musicians are live and in front of you, think high left balcony versus mid hall center versus second row right and so on

If you have a room that's too reflective, or too reflective in certain bands this can happen.  The lingering notes alter the perceived soundstage. 

Of course, speaker compression is a real thing.  That is, the frequency response is not the same at every volume. 

Not necessary.  A higher-end system in a well-treated room will exhibit lower distortion, less amplifier and speaker thermal compression, and better control of room reflections. As a result, it preserves spatial cues, imaging, and soundstage depth much better at higher playback levels.

Always treated the volume control like the dial on a telephoto zoom lens. The more you zoom out the shallower the depth of field. In any room there is a specific distance from the speakers and volume for a track that renders the best soundstage depth.