Re: This will make me sound like a NOOB.
All good points here, from my own experiences. As you feed more power to the speakers, the tonal response changes....it takes more power to amplify bass frequencies that it does to amplify treble frequencies. So yes, changing EQ as the volume is changed is often required. I imagine that the speakers are behaving differently too at different power levels, and their response probably changes to some degree (depending on their power rating in relation to the power being delivered to them).
Also, as the power stage approaches clipping, it becomes almost like a form of compression....so when you play a decent-sized amp at home, it may be operating at a lower volume setting and will obviously not have the classic tube overdrive thing going on, but the cleans will be big and wide and warm and detailed, very dynamic. As it gets cranked into rockin' territory, some of that detail seems to get lost in the trade for the driven tones.
And yes, I've always felt that the higher the amp is cranked, the less overdrive/ distortion is needed, as the power stage will take care of more of that, and do it better than any pedal. Because i've always used valve amps, i've only ever found it neccesary to use an overdrive pedal, never a distortion pedal. (keep in mind i don't really get into the modern metal territory sonically).
The problem with all that is that for people like me who don't use master-volume amps, the sweet spot on one amp means you are stuck with that volume, and if you have to turn it up or down, your sound will change. As a teenager i worked this out, and had to find a solution (this was all a few years before the advent of the master volume control). So....i figured the only way was to own several amps of different power. I still do that now, though of course now i can build amps with switchable output power. But i do realise that most people now need a simple rig that can cover a wide variey of playing situations, and i imagine the master-volume amps are a great benefit for them to be able to do all their playing, rehearsing and gigging with the one amp.