Speaker grills

I notice a big difference in the upper range. I have never been to a live venue where there were speaker grills. Grills are WAF and that is the only logical reason they even exist, in my book, which I am working on a movie now:)

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Always off when playing music.

Grills on when not playing to help keep dust out.
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Off when playing. On otherwise to help prevent yellowing of the PP woofer cones from sunlight.

Makes an audible difference to me in the treble. Infinity RSIIb.

Off when in use and on when not.

For Sennheiser HD600 headphones the answer is definitely without grills.