From what I have read the Denon headphones leak quite a bit of sound.
A used Audio Technica (W10VTG?) might be what you're looking for. All of the ATs I have owned didn't leak much sound.
The only benefit I see with a NAS is some of them let you install Slimserver (if you use a Squeezebox or Transporter) on them directly since they are basically mini computers. Whereas the Drobo requires you to have it connected to a computer.
So far so good here. I had the occasional time out with H-C on the old server (though this happened with the SH forums as well, so it might just be my crappy internet), but it's running great now.