I wouldn't go so far as to call it "theft", but using a dealer's time like that and not purchasing from them is definitely not cool.
In regards to your actual question, many integrateds don't have very powerful headphone amps. I didn't see any specs about the Sphinx's headphone amp. If your headphones are hard to drive, the internal headphone amp might not be up to the task.
The tubes are probably fine. If one or more of them is glowing, or if you hear ringing, or noise, you might have a bad one.
Wait until you get your speakers and see how it sounds.
In regards to your actual question, many integrateds don't have very powerful headphone amps. I didn't see any specs about the Sphinx's headphone amp. If your headphones are hard to drive, the internal headphone amp might not be up to the task.
The tubes are probably fine. If one or more of them is glowing, or if you hear ringing, or noise, you might have a bad one.
Wait until you get your speakers and see how it sounds.