It is not absolutely necessary to burn in headphones. Whether or not a sound difference can be heard by warming up headphones depends on the headphones and on the individual’s sense of hearing.
Even without a burning in phase, it is absolutely normal for minimal changes in the sound from the headphones to be noticeable after a certain usage period. For example, the headphones might sound a bit softer in the highs.
Improvements in sound, where there actually aren’t any measurable changes, are also often perceived after a certain time. This is also known as the habituation effect. The human auditory system gets used to the sound from the headphones. Sound characteristics which initially may have been found to be annoying become less intensive over time or are even no longer noticed.
It is therefore highly advisable not to rely on the first (sound) impression and to form a judgement too quickly but instead to listen to the headphones over a longer period of time.