I find through my system a lot of recordings{C.D.s} that sound good through headphones sound terrible. Separated almost like the band not together at all. Or hiphop and RNB that sound like a really bad record was used for their tracks.
Sometimes I get the same effect just because the speakers do a really good job of distinguishing between instruments. No Doubt's Hella Good is a good example - on many systems and some headphones it sounds like a single bass track, but through Axioms and similarly toned speakers there are clearly at least two distinct bass tracks (one electric bass, one keyboard bass IIRC) and maybe three.
I have a bit of the same sentiment as you - sometimes it almost seems better when the speakers/headphones blur all the tracks together. It's kind of counter-intuitive.