To understand this topic, you need to understand some essential differences between loud speaker and headphone. A reputable loud speaker manufacturer usually like to advertise their product for having a flat frequency response (FR). The important of having a flat FR is that it means the speaker won't add or subtract sound from the amplifier's signal. It will just sound as what it is intended to sound like. In the case of a non-flat FR, the speaker is said to 'color' the sound by increasing or decreasing the sound pressure level on certain region (i.e. extra bass or treble that is not supposed to be there). People who are into Hi-Fi usually like to avoid coloration as much as possible. After all, they want high fidelity, not high fiddle-ity. Here is where neutral meets natural: The speaker is said to be neutral (flat) sounding when there isn't any coloration (non-flat FR), which means it is also most truthful to the recording thus it is closest to what sounding natural. In the headphone world, however, neutral does not equal to natural. When you use speaker, the sound travels through the room, interacting with the wall, furnitures, your body, and your outer ears before reaching your eardrum. Every interaction during the process affects the final FR you hear, meaning it is not likely that the FR measured in your ear canal will be as flat as the FR of the speaker . If the FR is not longer flat, why do we called it natural sounding? That's because interaction is part of the natural process of how sound travels through space. When using headphone (especially IEM), many of those interaction do not take place. If headphone has a flat FR, you will probably hear a flat FR, which is not normally what you will hear when you are listening to speaker. To compensate, headphone manufacturers will tuned the FR of their headphone so it will better resemble the FR after the speaker's sound travels through the room. A common example will be the extra bass response most headphones have. lower bass note are often felt by the skin and heard by the ears at the same time, so the impression of hearing low bass note is a mixture of auditorial and tactile sensation. Since headphone transducer are much smaller (and move much less air), headphone user often 'not feeling' enough bass when the FR is flat. To compensate, headphone manufactures give their headphone an extra bass response so more air is moved and the user can better 'feel' the bass note as they would like when they are using speaker . This is why coloration is more favorable than being neutral (flat FR), thus coloration is what sounding more natural to the users, not flat, neutral FR.
So what kind of FR actually sounds more natural to an IEM user? There isn't a clear, straight answer I can give you. To add to the complex issue of what kind of tuning results in a more natural sound, we still have to consider the fact that each of us hears thing differently - we all have our very own FR curve due to aging and hearing damage accumulated over time. When you add the difference in musical taste to the big mix, there is impossible to tell what would sound most natural to you. However, there is one thing we can be sure of: Neutral and natural are not created equally in the IEM world.