What DAC are you using and are you using coax or toslink/sp dif cable?
I was using the Wolfson DAC in my Cambridge CX60, then a Topping E30, for a while but the sound was so good using the Ti DAC in my Denon PMA1600NE amp I now use that most of the time.
I don't exactly know why these CDP- XB920/XB930/XB940E's sound so good when used as a transport (maybe it's the fixed pick up and puck arrangement) or maybe the way the data is picked up and processed to the digital outputs, but they really do sound impressive through any modern DAC. I have had various CP Players over the years - Cambridge Azur 640, Marantz CD6005, Rega Apollo (first version) and even tested Creek Destiny and Cyrus CDi at home but none with the exception of perhaps the Rega and the Cyrus gave the sound I was looking for which is why I have kept the Sony for so long.
There will be many on here that say the sound of ANY cheap CD player, Blu Ray will sound the same through an external DAC but I have found that is NOT the case. For example I have tried various other cd players/dvd players and even my own Cambridge CXU on external DAC's and none of them seems to sound as impressive as when the Sony is used like this.
I connect via (sony -thin type fibre optic lead) seems to sound better using this lead than the Electrical Coaxial lead, I know it really shouldn't but it does to me.
There's an interesting teardown of this player on YT.