Sharp edged baffles are best listened to with the grills on...there will be less edge diffraction. If you like it with grills off then add some quarter round wood so as to make smooth edges.
I had Sophia 1's and I listened to them both ways, and to be honest, to my ears there wasn' t much difference, at least in the nearfield. Since I was always paranoid about bumping into my speakers in my small room, I left the grills on. I think they look better this way anyway.
I have WP7 and Sophias and have listened with grills both on and off and could not hear a real difference. I leave my grills on. The grill material is very thin and transparent.
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