EVGATech_LeeM
Most importantly, you should always follow the result that gives you the best performance and experience.
For the record, however, from our engineers and Audio Note's engineers, when using the Headphone out it's recommended to actually set the Windows/Main volume to 100%, and then raise the Headphone volume slider from 0% until the audio level is sufficient for your headphones. When the main volume is at 100%, that's the default volume level for the Software side before being passed to the audio card. Therefore, lowering the volume is simply making the original signal quieter, which may or may not reduce the dynamic range of the source, and will occur before the DAC processes the audio. When using the Headphone amp, you're adding power to the headphones to drive the signal properly, but if Windows/Main volume is lower, then you're amping an artificially quieter signal and giving more power than the headphone actually needs. This can also have the added side-effect of adding more noise to the source because the amp is now working harder to bring the signal level back up to the original level. Because of these interactions, it's possible that the final outcome may result in a signal that does not actually match the source audio (although we're really only talking about a slight difference).
Generally, the last volume control in your signal chain should be what you use to increase/decrease the volume. Everything that comes before (in this case, just Windows/Main volume) should be set to 100% (or very close to 100%; some opinions vary, so just stating that for the record).
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Ultimately, the OP's suggestion and my post here both recommend essentially the same tactic, but from different ends. Whichever way you find better for your own listening, start by setting one to a fixed value and work on the other to adjust the volume level, and then stick with that process so that your listening experience remains consistent.
For comparison's sake... the PCI HT Omega Claro Halo soundcard that I used prior to the Nu Audio had no fine analog control. It simply had a two position high or low impedance jumper. For my 150 ohm headphones I needed the jumper on high but had to reduce windows volume to 10-16. After years of use and enjoying every minute with it I tried several other soundcards that all had poor soudstages simply because the analog amp was set at a fixed state and all volume adjustment had to be done in windows.
Hear me out...
The Nu audio out of the box sounded equally as poor as all the rest... I was dismayed and about to box it up... and then I noticed the headphone control. By setting it according to my OP for 150ohm headphones the soundstage instantly went from narrow to wide JUST like my old HT Omega card. Everything sounds much more alive when you run the amp higher and bring the volume back down digitally, this works best on amps with a high SNR ration which the Nu audio absolutely has making it ideal to run this way. This has been my experience on home theater audio as well, Klipsch produced a line of floorstanding speakers a decade back that had amplifiers built into each speaker and run with no amp gain control for you to adjust. They ran the internal amp so "hot" that the hiss could be heard 6-10 feet away when you aren't playing anything. But man did they sound amazing. Your home theater receiver had to be dialed way back to accommodate them but it was so very worth it. This was my first clue on how to best amplify speakers/headphones.
Caveat: You absolutely must have higher impedance headphones for the methodology I described to be noticeably better.
One test track I highly recommend is the song "Shyer" by London Grammar. In the first 15 seconds there are background voices before the song really gets going. With the volume set according to EVGATech_LeeM's method they sound mostly the same distance away as the vocals in the rest of the song, with the volume set up in the method I described one moves much further back into the soundstage and the other closer to the center in comparison with other elements and main vocal. This expanded soundstage can be detected across a variety of content once you've clued yourself into some exact differences.
But yeah, experiment both ways. Your experience will be based on your own perception and even things like the shape of your ear and amount of hearing loss. I just wanted to share what settings made the Nu Audio go from a poor experience in need of return to a viable replacement for my outdated PCI soundcard. :)