When I talk to GMs and ask them about their preferences, they seem to never prefer heavy pieces. I'm guessing they became conditioned to the weight of the most standard tournament set of today. In their case, this is usually the DGT Timeless set, used in just about any FIDE rated tournament for last 15 years or so.
As DGT pieces are not weighted (with one custom exception done by Frank Camaratta), the only heft they get is from the electronics inside and their chunky design.
As a side note, one of the most coveted chess sets of all time, the Dubrovnik 1950 was not weighted. Nor was the elusive Bobby Fischer's Dubrovnik II that he explicitly praised as being "very, very light, perfect for traveling with." Reportedly, the Dubrovnik II original pieces from master Jakopović's Zagreb workshop made in the Fifties and Sixties are one of the most playable chess sets ever. Not weighted.
I believe today's GMs feel most at home with very lightly weighted pieces, but they will not mind playing a game with any stable good lookin' set that is at hand.
-Izmet Fekali (http://bestchessmenever.com)
lol