Dumb break in question...

Meanwhile, back in the real world.... not being connected means you have an open circuit. Getting silly technical as per the norm around here, that means no electrons moving. No current. Not even milliamps. Zero. Zilch. Nada.

So the output stage isn’t breaking in at all. That doesn’t mean nothing is happening. Obviously there are plenty of circuits operating within the player that are indeed being burned in this way.

That said, the only way to fully burn it in is to play it, and to play it into a working operating turned on amp. Because turn the amp off, now you are back to the same situation where the circuit is open and nothing is happening.

Personally, I enjoy listening all through this process. If I ever bought anything so crappy it wasn’t fun to hear right out of the box I would first of all pack it up and ship it off, all the while berating myself and searching for answers as to why my search process was so flawed anything so awful was even possible. Then I would make sure and not repeat this mistake ever again. Which is why the last time this happened was so many years ago I don’t even remember....

But that’s me. The guy who actually understands this stuff.  
https://systems.audiogon.com/systems/8367

@Millercarbon,

The output stages of all (or at least virtually all) CD players, as well as all or virtually all other devices providing line-level analog outputs, operate in class A. Which means that the transistors or tubes in the output stage will actually be conducting very slightly MORE current when no load is connected compared to when a load is connected. In the case of the typical example I cited earlier, that difference would be 0.00002 amps.

An analogy can be drawn to power amps operating in class A. As you may realize, such amps will actually dissipate less power internally, and hence operate slightly cooler, when music is being played and current is being provided to the speaker, compared to when no music is being played.

Also, regarding ...

That said, the only way to fully burn it in is to play it, and to play it into a working operating turned on amp. Because turn the amp off, now you are back to the same situation where the circuit is open and nothing is happening.

... Many and perhaps most power amps (and preamps, if that is what the CD player would be driving) will present an input impedance when turned off that is not much different than when turned on. So in those cases the CD player won’t "know" the difference.

Regards,
-- Al

Just hook it up and enjoy the music.

Amen

Forest for the trees, Al, forest for the trees.