Some speaker tests(none involving Axioms)have shown response curves with and without grills. Generally, there's been a slight(about a dB or two)loss in the top octave with the grills, but it's highly doubtful that this would be audible in a blind listening test such as Alan described. Of course, the subjective review part of those tests often included a claim such as a loss of "air" with them on.

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Enjoy the music, not the equipment.