It's the same reason as with speakers, damping factor. I suggest it doesn't make as much difference with headphones but don't quote me on that.
A greater damping factor generally equates to better bass control, going through resistors into the headphones kills any damping factor benefit.
Driving directly from a headphone amp circumvents any losses on this score.
I love Hendrix for so many reasons. He was so much more than just a blues guitarist - he played damn well any kind of guitar he wanted. In fact I'm not sure if he even played the guitar - he played music. - Stevie Ray Vaughan