At that speed you have a high frequency. There will be significant eddy loss in the thick wire. Even at the low frequency used for wind power this is likely to be close to an issue with wires thicker than 10 AWG.

At high frequencies there is a second issue of skin effect, the current crowds to the outer surface and little is carried in the centre. When you reach low radio frequencies you are as well off with a copper tube as a solid bar.

Your multi stand wire is effectively what is known as Litz wire that has to be used for radio frequency applications.

The 14Awg will almost certainly show signs of heating with no load due to eddies. The lower impedance of the stranded wire will more likely be due to skin effect.

There is another effect in inductors and transformers that I haven't seen mentioned here before called proximity effect and it usually dominates skin effect at low frequencies. It's caused by interaction of the magnetic fields of nearby conductors (other turns in a coil) and causes disruption (bunching/looping) of the current path within the wire which results in increased AC resistance. (perhaps, part of Flux's constant?)

I don't believe you've mentioned what the DC resistance of these coils are. Have you measured it? Don't use an ohmmeter - use a known DC current and voltage drop method. Coil 2 should have higher resistance since as sdscott pointed out, four #21 is equivilent to #15 and the extra turn will also bring it up.

I assume the voltage drop you mention is between unloaded and loaded. I'm not sure how significant this is, but it does seem to indicate a higher impedance of coil 1.

It's easy to check for eddy current losses in coil 1. Just run it open circuit for a while and check for a temperature rise. I don't expect you'll see it.

Have you looked at waveforms with a scope? If they depart much from sine and have different crest factors for the two coils, your instrumentation could be lying to you. I suspect this may be a more likely explanation.

By the way, yes, Litz wire is usually twisted or braided but what you have isn't true Litz. It's typically made up of many more smaller strands than you are using.