What makes a speaker sound great at low volume?

@mrdecibel I agree . Hi end vintage gears was equipped tone control
loudness control etc, so this is problem with all hi end which you
see on the market now. Is very rare to see all new amp, with any
tone adjustment,  so this issue is depend from speakers . Sensitivity is
absolutely no important. take a look on the freq . responce---
if it is go  slightly up in midbass or bass   it will be play good on the
low volume,

"What makes a speaker sound great at low volume?"

The "Loudness" switch on my McIntosh C22 preamp...

I have a pair of high end headphones and a good head amp for late night listening. The high efficiency of a speaker is usually a good indicator that it will sound good at low volumes. but you do need to audition it.As another said, getting USED TO listening at low volumes matters a lot. I agree if you listen pretty loud all the time, hear a low volume sounds bad. Where folks like myself who listen at lower volumes all the time, it sounds great!
And most electrostatic sound wonderful at low volumes. As well as high efficiency speakers.

I use the tone controls on my McIntosh C2500 preamp at low volumes.  Does wonders.

A tube preamp will help.