There are several technical differences which might cause what you are hearing. I certainly hear similar things.
1) Classical music (meaning orchestral music most of the time) is usually recorded and mastered with substantial headroom - instantaneous peaks 14 to 20dB above the peak VU, and little or no compression. Pop and rock are almost always more compressed. That means you will hear any lack of headroom more readily when playing classical music.
2) Classical (orchestral) music is spectrally dense and undistorted at the same time. That means the frequency spectrum has many peaks (tones) with a low background level at non-harmonic frequencies. This background gets filled in by intermodulation distortion, making such distortion more audible. Rock is also spectrally dense, but the amplified instruments already have a lot of IM distortion - it's part of the electric guitar sound. And there is more broad-spectrum sound (cymbals, for instance). So the non-harmonic background is at a higher level and better masks the audio system's IM distortion products.
3) Classical (symphonic) music has much more very deep bass, even though it has less low/mid bass and is not perceived as being so bass-heavy. Very many components are limited in their ability to handle deep bass at high levels, and classical is more likely to put a strain on that ability.
4) This one is controversial to say the least. I'll just give the theory without attacking or defending it, since I am not yet convinced either way. The theory is that small amounts of second harmonic distortion lends a pleasant warmth and immediacy to music reproduction, through the generation of harmonic distortion products (IM distortion products are NOT harmonically related to the music). Chamber music - and I include much jazz which is also small-ensemble music - is spectrally sparse and does not generate so much IM energy, so it takes advantage of this effect best. I do not suggest this is the only virtue of SE sound - I find I much prefer my favorite large-scale Mahler symphonies with SE amplification, as long as there is enough headroom. But I've also noticed solo guitar with wimpy SE amps and inefficient speakers can sound startlingly real - not like you are in the studio, but like the guitarist is in your living room. It's an artificial effect, but a very attractive one with the right music. A "classical" system with tons of clean power and low distortion, will fail to produce this effect.
