For the "built in speakers" thing, that is because the SHP9600 is a open back headphone. This means that it will leak noise to your room as it's not closed off. This is done with most high end headphones as it helps the feeling of sound coming from the room rather than the headphones. If you are in a situation where either you don't wanna hear the outside world or the people around you don't wanna hear you, you need closed back headphones.

I'm regards to the "no bass no treble", the SHP9600 is known to not be the most exciting headphones. It's regarded for it's neutrality in fact. Meaning it produces a sound that doesn't have more bass over mids more treble than bass, etc. however try using the headphones for a week or so. Your brain itself is likely just used to more bass. When getting any new headphones you pretty much always need to give your brain time to adjust to the new sound signature.

Given your post though, it seems you would be better off with a closed or semi-closed back headphone with a more energetic signature like a DT770 or a DT880.

Of course, they could also just be faulty. but your experience is a fairly common one amongst newbies.