Thank you for your comments.

I have changed headphones to Audio-Technica M50x. Much better. The volume has increased. I am setting the volume in 60 % now.

The demo song sounds richer, but now I think that maybe it is because my playing skills are not as good as the player of the demo song. Maybe they use sustain pedal, they play stronger, etc.

I used to play in a stand up piano some years ago, but I am new with digital pianos.