Thanks guys.
Yeah, I've been listening with the audio in mono (it's an option in RME's TotalMix), and I checked with music, films and radio news channels.
Good point re. the volume control. I've experienced that low-volume imbalance thing on a Denon amp (now in the garage), which was solved with some attenuators on the input side. That one isn't what I've used with these 'phones but I'm going to check on the other newer amps around the house, just to be sure (another Denon, and two Yamaha receivers. Yes, too much gear!).
At the DAW PC, which is where I mainly use headphones, there isn't a physical control on my Digiface USB audio interface, but there is on my Zoom U-44 so I'll check again.
If I swap the 'phones around left-right the imbalance oddly seems a bit less, but still towards the left-side earcup.
I was hoping the imbalance thing was an early-run manufacturing problem but it seems not. And it isn't massive - it's like someone talking to you with their head turned. Oh well, not a really big deal as I'll return them. Just disappointed with Sennheiser; I expected better from them.
On the plus side, they do sound much clearer than my others, which are both closed-back sets (ATH-M20X, bought just for recording as they don't bleed much at all, and some really old Rotel RH-700s), so it's just a question of getting a good pair.