This is the way that most valve amps behave, in my experience. At low master volumes, the power section and speakers aren't really involved in the breakup. It's all preamp saturation, which is a fizzier type of saturation. And at extreme master settings, the power section and/or speakers are overtaxed and go into some nastier sounding clipping. But in the middle, when the preamp, power section, and speakers are all working hard but not overtaxed, that's the sweet spot.
I've played a couple of amps that defy this though. My JCM800 actually has a pretty good preamp saturation, and it only gets better as the master is increased. And the DSL40C that I had would resist power section breakup until all but the most painfully loud master settings. But my Traynor, Fender, and Mesa amps all have more of a "sweet spot" between the pre and master gains.