You have to keep in mind the difference between 'loudness' and 'SPL'. 'Loudness' as used in these conversations is usually a measure of compression, of the average level of the song at a given time relative to the possible peak level, and here we mean as it is represented in the delivery format (CD, DVD, etc...) All music on CDs is set up so that the highest peaks are just below 0dBFS, so they cannot be made louder (given a particular volume setting on the reproduction system) without compression. Compression brings down the peaks, so you can push the average level up without goign over the limit. But it chops off the peaks and reduces dynamic range. These days, they are almost compressed out of existence, so it's almost impossible to make them louder in that sense. Even the horrendous multiband compression used in radio can barely make a difference if it has almost no dynamic range left to begin with, and much doesn't these days.
OTOH, SPL in the room is the actual sound pressure level you hear. That is a combination of the volume setting of the playback system, and the average (media format) loudness of the music being played. Most folks listen to movies louder than they do music, it's just that movies set aside a large dynamic range above the average, to allow for music crescendos and explosions and such. So anything towards the top of the loudness range in a movie is going to be quite loud, because you have to understand the dialogue and that is typically much lower average loudness than music on a CD.
So there's lots of room in the typical movie to have the music sound quite loud in SPL terms, because it's a much higher average loudness relative to the stuff you've been listening to, the modest average loudness that makes up most of hte movie..Movie makers still understand the purpose of allowing for big cresendos, something that the music world has become too stupid to understand.
And that also brings in the ear's response as well. As music gets louder, our ears respond differently. At lower levels they hear more of the mid-range. As the SPL goes up, they hear more bass and high end, so you get a natural 'smiley face' EQ curve, that a lot of people find pleasing. So if its louder in the room in SPL terms thatn what you would normally listen to it, it will tend to sound like it has more low and high end. That's not really better, it's less articulate really since most of the detail is in the mids. But it sounds pleasant, so you may like listening to it more. The movie people may even re-EQ it a bit to give that effect, I dunno. Since our ears respond that way, we perceive something with that EQ curve to be louder than it really is. The 'loudness' buttons on boom boxes do exactly that. They put shelf EQs on the low and high end to push them up.
So, anyway, it's a complex issue, with a lot of factors involved.