Wow I kept picking the 128kbps MP3. Im using Sennheiser HD58X. I'm plugged into the headphone jack of my Desktop monitor which itself is getting audio via USB-C. Maybe the amp is bad in the monitor? Wonder if an external DAC would be any better.
That's why usually good audio tests use ABX where it's not about seeing if you can identify what is best, but rather if you can identify a difference at all. See for instance: http://abx.digitalfeed.net/
EDIT: I actually just tried the test and... ended up doing the same thing you did. On the Neil Young track I could hear a definite difference in the high pitched violin-like background, but I ended up selecting the 128kbps track as the "highest quality", maybe because the compression made it sound smoother.
If you can't hear the difference at a low price point, that's not a curse, it's a blessing.
The DAC chip in a monitor will be the absolute cheapest one they can source, and is probably receiving a lot of noise from the monitor itself as well. The good news is that you don't need to break the bank to get something decent; a budget of ~$100 will get you something a million times better than a screen could ever deliver.
The $400 Element II [1] from JDS Labs (makers of the legendary Objective-2, a DAC+Amp that was designed to give top-end performance at bottom-end prices) is very literally as good as it gets without snakeoil entering the equation. THD when under a 150-ohm load is 0.0008%. That's very good. This is what I'll be upgrading to if my setup at work ever dies.
My work rig is an Aune T1 [2] which retails for $250 but Massdrop does them for $100-$150 sometimes. Yeah it's a "tube" but that doesn't matter as much as myth would have you; today's tubes are pretty transparent unless you deliberately get something that isn't. THD is good however nowhere near JDS Labs-level of perfection.
The Fiio Q2 mk2 [3] can be found for as little as $100 and it's a solid performer, though I haven't personally used it, Fiio's reputation is impeccable.
[1] https://jdslabs.com/product/element-ii/
[2] https://www.amazon.com/Aune-Second-Generation-Amplifier-Deco...
A man sits on a weight bench, wondering if the equipment is defective because he can't seem to bench press 800 lb...
It's a big step between esoterics and "please don't use the cheap shitty DAC that was integrated into your monitor to satisfy a feature checklist".
The amp part will matter a lot the more impedance the cans have, and many of the better headphones are high(er)-impedance. Might as well spring for a headphone amp + DAC combo just to see how it sounds. It's not that expensive, FiiO has some for under 80 bucks, for example.
https://gizmodo.com/is-there-anyone-stupid-enough-to-believe...
[Edit: Fixed Link]
Yeah the AMP and the DAC.
The Apple USB-C to 3.5mm doesn't break the bank, works with Windows fine and the headphone nerds seem to rate it