I wish I could say my speakers sound better with the grills on, because they look better that way. But they sound more veiled, which makes sense. As a matter of fact, I'm sure vast majority of the speakers aren't meant to have grills on, it's just that some people might like the way it looks or maybe also to protect the drivers better. I guess though, if the speaker is too aggressive, the grill could tame the sound a bit, which might help.
Grilles or No Grilles
I've always found that 'no grilles' leads to a more accurate listening experience. I've had many different speakers using many different grille cloth and components and always, no grilles works better for me. Often many of my friends find that a WAF means grilles on. What do you think?