How about... testing it yourself since you can. Whether it is "meant to" or not, it is kinda irrelevant if you ears tell you otherwise right? Better trust your ear than what Creative/other people tell you. AFAIK (i.e. based on what some people have reported), CMSS is supposed to do headphones quite a bit of good. But on the X-Fi, I still prefer that option off in HL2 for instance. However, I do quite enjoy having CMSS on with headphones in entertainment mode for some movies.
I'll admit it has been a while since I've gamed on my speakers. I'll give a test at some point. But you really are better off trying it for yourself and drawing your own conclusion. The effect of CMSS is quite obvious to me (though the implementation of CMSS in the X-Fi is said to be different than the ones in the Audigy), it is not something that you should have difficulty telling which one you prefer (or if you indeed have any preference).