The sound you get when the pickup(s) are directly connected to the input of a tube amp, i.e. no tone or volume controls, is considered a "Gold" standard for some players. What you get from this set-up is very high impedance pickup loading and a sound that is often described as lively or bright. It can be too aggressive for some players.
A 1 Meg Ohm resistor is loading each pickup in the High Z-Mode. This high input resistance combined with the inductance of the pickup coil and the capacitance within the pickup (mainly due to the details of how the coil is wound) will have a peaked response at some frequency - see the graph below which is an amplitude versus frequency scan of 2 pickups in High Z-Mode. The Red is an early 70s Fender Vintage Jazz and the Blue is a pickup from a Fender American Standard Jazz.
The frequency of the peak is at 3.5 KHz and is plainly visible in
Pickups - the actual frequency peak for any particular pickup will depend on the internal inductance of the coil combined with the internal and external capacitance which loads the pickup. If more capacitance is added to the pickup then the frequency of the peak will occur at a lower frequency. If the inductance of the coil is changed, for example, switching a pickup from a series to a parallel coil connection, then the peak will shift to a higher frequency. If the pickups are wound differently, for example, by a boutique pickup winder which uses a "scatter winding" technique, then the frequency peaks location will also vary. So resonate peak location varies by pickup, as do player preferences.
Adjusting the location of the resonant peak: