On my brother's Klipsch KSB3.1's we found that after removing the metal grill the highs were a tad cleaner. The difference was subtle, but it was enough to know the difference wasn't just in our heads. He left them on because it doesn't look that good with the grill off though. I have my grills off just because I love the look of the Klipsch copper colored woofers.
Some companies go as far as tuning their speakers with the speaker grilles because they've noted the change in response the materials have.
Take Wilson audio for example at the bottom link.