I'm glad you brought this up. It has caused me to question what I know and what I thought I knew about this, so I've been doing some reading. Here's what I've got so far (from
http://www.geofex.com/tubeampfaq/tafaqndx.htm):
The impedance of the load (the speakers) is reflected onto the primary of the output transformer, which is the load on the power tubes, and the impedance selector on the output transformer of a tube power amp is for setting the optimum load on the power tubes. If that adjustment is off in either direction, you get less power from the amp.
I have a 50 watt Marshall which has 4, 8, and 16 ohm settings. I have changed this with the same speakers connected, and I heard little difference in the loudness of the amp.