OK, now that we know the TT and cartridge should be OK, what is the condition of the albums? If they're not dark black and shiny, you hear a lot of background noise and distortion, they could be the cause. If you have a new recording and it sounds bad, I would contact the seller. Also, make sure the stylus is fully in place- the mounting screws shouldn't be too long to slide it all the way into position. If the top of the red stylus body has a wide gap, this may be the problem.
Also, it might be a good idea to call the seller and find out how they aligned the cartridge on the tonearm. If they say something like "We do them all the same way", it doesn't guarantee correct alignment and being too far forward or back on the headshell or skewed to one side can make the best equipment sound like garbage.
Try another input, to see if the high frequency response improves. You will need to crank the volume control setting because the output from a cartridge is far lower than any other source, but if you can get a passable sound by maxing the bass and reducing the treble even if it's too quiet, it might indicate a problem with the phono section of the receiver. It happens, but not often and Onkyo is no stranger to turntables and phono preamps.
They didn't sell you a phono preamp, did they? If so, return it- you don't need one with that receiver and the way you described it- "loud, but lacks detail; painful to listen.
I have noticed the high hats, cymbals etc. are greatly reduced compared to any digital source." sounds like the result of using a phono preamp to feed the signal into a phono preamp. It will overdrive the phono stage in the Onkyo and because the gain and RIAA equalization will occur before it hits another stage of gain and RIAA equalization, the result will be: muddy, distorted, no highs, loud and painful to listen to. If you connect the cables to an Aux input (or CD, Tape, anything else like it) and the sound improves, this would indicate that it has a phono preamp- is it the Debut Carbon USB DC? If so, that has a phono preamp built in.