Audio with dynamic range compression (not psychoacoustic lossy compression) do have a higher total audio power (that's why they sound louder). But still are AC signals. They will have the speaker dissipating more heat, but you hearing will go before the voice coil. So trust your ears when playing music with large amounts of compression applied. If it sounds too loud, turn it down.

Pioneer PDP-5020FD, Marantz SR6011
Axiom M5HP, VP160HP, QS8
Sony PS4, surround backs
-Chris