Yup!
It's just like if you mix a song on headphones the balance will be all wrong. Things sound totally different depending on context:
- Headphones right by your ears vs. speakers in a room
- Soft vs. loud volumes
- Alone or with other instruments
So it's impractical to dial in a tone in any other context than the one where it'll actually be used.
I've always had to go through many iterations - adjust best I can at home, tweak at a gig and make a mental note of what needs to change, adjust more at home, later / rinse / repeat.
It's just one of the aspects of modeling gear; a regular amp limits you to ONLY hearing it through its normal speaker so the context difference is not as obvious.