For me, completely understanding the issue has been illusive. But different systems I have owned have definitely varied. In general, the better the system the less dependent on volume.
I have heard a lot of Maggie’s over the years. Those are, at least in my mind not speaker you want. To get dynamic presentation they need a lot of power… and often volume.
My favorite speakers for low volume are Totem. My Sonus Faber sound great at low volumes. But it is not just the speakers… it is also the electronics.