I'm glad this topic has been raised.
I use Spotify Premium at extreme quality settings for streamed and downloaded.
Previously, I've done all the usual ABX experiments that one would expect from a member of HA [edit - not with Spotify though...]
Without invoking #TOS, I've also noticed *something* about the subjective experience, regardless of delivery method to my ears.
To me, it actually sounds like how a transcode from one format to another would sound. Some albums/tracks/labels are worse than others.
Are Spotify being supplied lossy masters?