I agree... it depends on the powder and what you use to apply it.
I use a Guerlain pressed powder foundation with a soft kabuki brush for light coverage and I always thought that is what powder was best for... a lighter finish.
But then again powder can be the most natural way to go for heavier coverage as well... as long as you buff/blend it in very well so it doesn't look caked on.
In my own experience I use liquid for complete coverage and set it with powder... and if I don't need heavy coverage I've always used powder just to even out my skin tone and make me look polished.