+1
Without knowing your audiogram or situation better it sounds to me like getting more low frequency benefit from the aids when you plug your ear. With your ears unoccluded you vent off low frequencies and these sound contribute to loudness perception as well as “balance” of sound. You might find the sound “fuller” with more low Hz energy. Custom moulds or more occluding domes will accomplish this also.
Settings can have a vast impact on sound quality, esp if not set “properly”. Whats more, correct for one person might not be the same as correct for another even with the same audiogram.
Different hearing aids sound different from one another. I’m not sure that you can effectively judge one hearing aid sounding “better” in a single environment or over a very short period of time though. While its true all companies are reaching for the same goal of amplifying speech sounds to achieve audibility, and while it may also be true they share some similar components that doesn’t mean they arrive at the goal in the same manner. Hearing aids are vastly more complex then the days of microphone + amplifier + speaker = HA. As such there are sound quality differences between companies, even between hearing aids within a company.
As for a hypothetical “shady Audi” influencing your choice through settings, I would would find this unlikely, albeit possible. Anything they’re putting on your ear is something they should want to sound good, anything less is counter productive. The only reason I can see something like this would be to set a less expensive aid less optimally in order to say “look how much better this one sounds”. Even that find that unlikely, doing something akin to this with different brands would be even more unlikely.