It depends upon whether the volume control on the CD player is analog or digital. Digital volume controls throw away bits (i.e., reduce processing power) with full resolution existing only as you increase the volume past a certain point. Analog volume controls do not have this problem, but they can they have other problems if the manufacturer is trying to hold down costs or doesn't know what it's doing. Generally speaking, volume controls on CD players are digital, and generally speaking, analog volume controls are better.
CD player connected directly to Amplifier?
I've been noticing some CD players which can be connected directly to the amp; in many models, its the recommended way to play them. I've never done this, but it seems like a good way to go assuming one has a nice high-end cd player equipped for such a task. I see the obvious advantage of foregoing the expense of a separate preamp, especially in a combined HT/2 channel rig like my own. Is there an obvious advantage in performance? Anyone have any thoughts or experience with this method?