Oh dear headphones !!!

I think you have answered your own question !

I got a really nice set of headphones (Sony MRD7509s 200 dollars worth) with the intention of tracking and mixing through them.

Well I did, and it sounded great through the headphones.

Then I listened to the mix through my studio monitors....oh my god it was dreadful, all the vocals were out (not even in with them selves), the stereo imaging was all over the place and in short it was horrible !

Net end result I do not trust headphones at all !

When Im tracking vocals these days I will send the entire headphone mix through the left can and keep my right ear free of headphones, that works well ~! I never mix with them as it is like working with rose tinted spectacles.

I find that mixing using HiFi speaker is the same !

If you are at very high volumes you may also be suffering form Fletcher Munson equal loudness Curves.

You know how your tone changes when you crank your guitar amp, well this is to do with the perception of frequencies at different volumes. At loud volumes you are listening to a different frequency distribution and correcting for it when you mix. When you turn down, the frequency distribution changes but remains with the same EQing you have applied at high volume. It is a bit like mixing in a room that sounds very bassy. You here a lot of bass and turn the bass down. You move into another room and.... where is all the bass ?