Will changing gain affect frequency response?

I don’t believe this has been expressly mentioned. You can significantly effect how you "drive" your speakers by adjusting the gain and therefor the volume the speakers put out. I would be Very cautious however about over-driving the speakers and burning out the crossovers, blowing out the speaker surrounds or similar speaker or other damage. A friend of mine blew out the speaker surrounds of his speakers 3 times before he caught on that he had the gain adjusted too high. Adjusting the gain too high can also cause your equipment to "clip". The best setting for gain is just before your equipment begins to clip. This is the point at which you are driving your speakers and your equipment to the max - which is what you want to do- but you are not over driving it. I understand all of the discussion of volume and our perception that louder is better. Gain is really a different issue although it also results in variations in volume. Again, I would be most cautious about turning the gain up with careful consideration of the overall effect it is having on all of your equipment.