When System Improvements Are Marginal

I’m fortunate enough to have some items that I’m considering purchasing loan this Holiday weekend.  And I have a question that I’m interested in obtaining responses on.

Typically, when I’ve inserted a new component it’s been fairly obvious what the contribution was that that specific component was making to my system.  I’m reminded of a comment made to me by a long-term industry professional that went something like, “When trying out a new component in your system the contribution or difference that component makes should jump right out at you.”

However, OTOH, one of the components that I’m considering purchasing is not jumping right out me.  In fact, there are times when I’m not sure whether it is making a difference.  And, there are times when I think that it is making a difference but the difference is very subtle.  And I like it.  But, admittedly because it is so subtle I wonder if it might just be in my head.  And in this case I’m reminded of the common comment that as our systems improve, any additional improvements become marginal.  Or, the law of diminishing returns.

Anyway, I’m sure there are at least a few members on the forum that have been in a similar situation.  And my question is, “What did you do?”

Don’t worry too much about the law of diminishing returns or any such notion. Your dealer/pro is guiding you well with his advice, I’d say.

The difference(s) should jump out at you. You just need to be careful that those differences don’t also introduce a new negative aspect to the sound that you hadn’t had to deal with before. Be a bit insistent with yourself that the sound you’re after (or better) does indeed exist and that it’s just a matter of finding out what it will take for you to get there - IOW avoid compromising with yourself or with the unknown...if you are thorough with this approach, you will include looking at solutions for yourself that are not too expensive and not out of your original price range. Lots of variety in equipment out there to try, to look at and consider. Your ears should tell your when you’re getting close to what it is you’re after.

The change introduced by the new component better be obvious. If not obvious - the component might still be very good, and might make a significant difference in a different system, but is not helping you at this time. You might realize its benefits later (after other system changes). Or its drawbacks. Sometimes the existing system has other unexpected weak links, whether it is the room coupling or interconnects or another component that keeps it from raising to the next level. 

If it was me, I may try to force the difference be more obvious (for example, operate another change, then evaluate again the new component in the changed system) to shortcut the learning. 
I've found that the character of a piece is more readily apparent when it is removed from a system after having been in place for a while, rather than when it is first inserted. By that time you have listened to a lot of music through it, and have become familiar with it's way with music. Sort of like how you don't really know someone for quite a while after first meeting them. But then, my learning curve is somewhat gradual ;-).
I agree with bdp24 and his methodology.  I disagree with the "jump right at you" aspect.  When true it could mean something is very wrong with either your existing system or the new component.

I also agree with the play it for awhile and then remove it method discussed by bdp24, and I have found that the more "dialed in" my system has become, the less I hear a "jump right at you" level of improvement from most changes.  I no longer sell one component before purchasing another and my recent amplifier search resulted in owning four pretty good amplifiers at the same time...all of which sounded very nice, all of which I could live with, but all of which had some trade-off.  The lengthy audition (about a year for 3 of the amps) led me to understand what characteristics of sound I value and helped me select the amp that sounded best to me.
OTOH, with digital gear, which continues to improve across the board, I have heard noticeable and immediate improvements, like with my DAC and Antipodes DX server.

Folks, thanks for taking the time to respond.  However, no one really answered the question.  Except, perhaps, "cbozdog" but in a hypothetical way.

The experience that I referred to in the OP just has me curious for input from others that have "experienced" the same or similar results / situations.  Per my final sentence,

"And my question is "What did you do?" "

As a sidebar issue as part of the items I have on loan are some desktop computer speakers for my desktop computer system.  When I A/B/A, it is immediately apparent that there is a difference/improvement.  However, after an extended listening I start thinking that the difference is not that great.  But as soon as I activate the current speakers I'm immediately reminded that there is a difference between them and the loaner speakers.  As I said just an interesting sidebar issue for me as I spend time with these loaner items.

I am in the same camp as mitch2 and bdp24 and I hold on to several pieces of gear just to revisit as I am making my final decisions. Sometimes The decisions aren't as easy as the moves would be considered lateral moves, different not better. It has actually led me to own a Pass labs XA30.5 amp and a pair of VTL MB125s to different sounding amps but their differences are welcome when each is in my system.
+ 4 - bdp24

Much of the time, the play it for awhile scenario is true. But, I did have a "jump right out at you" experience a number of times due to a mismatched piece of equipment in the chain. One example, was when I was using a 6550 based integrated amp with my Horning Hybrid speakers. The Hornings had been a big jump for me in cost when I got them and the overall sound of my system did improve. I remember, trying a variety of tweaks, but really couldn't really hear much of a difference, or perhaps my brain was trying to "invent" a noticeable difference. I mentioned this to my dealer, who told me that it was my amp. What to believe, right? And, acknowledging that he's probably right, because of his track record, this would mean another long term savings towards another replacement component. When I did get around to replacing my 6550 with a couple of 300b mono blocks, the change in sound was immediate, and did jump out at me. Now, I hear anything I change in my system. So, that's what I did.
Sometimes it takes a month or more of listening to hear if the new addition is right or wrong. When the trolls rear their ugly heads, it is clear...but was not even hearing them when first added to the system.  In some circumstances, the addition is clearly better...and then come the trolls.
To tooblue and kenneythekey -

Thank you. Those were the types of answers that I was looking for.

I suppose I failed to make myself clear in my post at the top, FWIW. Yes, I believe the differences should jump out at you, but OTOH the Decision to keep that new arrangement should not necessarily be made then and there. Living with the change first as long as you can is always a wise move, as others here rightly point out.