Just to add my 2 cents...
I'm happy with my 20th Shiva, but the loop sadly isn't great. Yes, I have a noticeable volume drop and a perceived loss of high-end. I've obsessively tested many combinations (cables, pedals, just a short patch cable between send and return)...no matter what, plugging in the loop drops the volume and apparently cuts some highs. The amp simply sounds a little less direct and punchy. I find one can counteract this by bumping up the volume (actually more than just a hair) and dialing back in some highs. Since the loop on the Shiva is engaged all the time, this disparity is not a big deal. But just dial in your amp to a comfortable volume with your loop plugged in, unplug, and wham, it's that much louder.
I find this a little similar to when the reverb is engaged. The amp feels a tad softer, less punchy. I should say, though, that I find the volume drop more pronounced in the loop than with the reverb. Maybe all of this has to do with what Bogner calls "not down loading" the amp with all the extras (reverb, f/x) not engaged. Cable to amp simply sounds best!
I've decided I can live with the less than perfect loop but I'm not the first person to wonder why one must compromise on an amp in a such price class. Loops on other amps work like a charm.
I guess one can never have it all.