I am using apple lossless.That could be one factor. ALAC is not native to the Squeezebox so has to be transcoded by the Squeezecenter software and streamed to the Squeezebox in a different format.
Check your settings to see which format is being used to stream from Squeezecenter to the box. That could explain the situation, particularly if a setting is off.
And, for an experiment, take a CD where you've noticed a quality difference between your CD player and the Squeezebox and rip that CD to either wave or FLAC format. Both of those are natively decoded. It would be interesting to see if that makes a difference for you.