Does high volume collapse soundstage depth?

High volume can have a negative effect. Typically when it reaches a volume where room reflections start interfering with the soundstage. You can increase absorption around the room and allow it to play louder with less interference. 

But in addition the better the system, the less loud it needs to be played to be satisfying. I remember, long ago I would play my system at reduculous volumes to get satisfying bass and dynamic range. Now with my system it is completely satisfying at 65db... if I am rocking out 75 db... although it plays without distortion at 95db... its just not necessary, I have a large well dampened listening area.

I think it isn't the higher volume itself, but the lack of headroom from your amplifier that causes that effect.  Just my 2 cents.

@zavato 

It's called compression.

Your speakers are exhibiting power compression if they lose there composure at high volume. See here and here!

Mike

My setup is the opposite, the higher the volume the bigger the sound stage becomes. I find imaging starts to collapse at high volume, but that might just be my hearing. The sweet spot is usually around 85-95db, that is where everything comes alive.