If you were running these off an iphone or ipod with the EQ enabled, that is no doubt where the distortion is coming from you are hearing. The 'preset' equalisers built into the ipods always have been absolutely rubbish because unless it is set to flat, or cutting certain frequencies, it just results in distortion, particularly noticeable in the low end. This is due to the EQ's having a very powerful boost, but with no preamp control, if you have to boost frequencies the overall level coming in needs to be lower first or otherwise it will obviously distort as it exceeds the maximum level of the device. The graphic EQ built into the itunes software is however brilliant.
I highly highly doubt that these headphones will distort when playing back at a moderate-high level, from a 'neutral' source (ie no EQ). If they still do then you should take them back and get your money back.
Do your P5's not distort when plugged in to the same device that is distorting the Klipsch's?