Ahhh . . . it’s all coming back to me now.
It’s been so long since I played with any of my e200 series players, I forgot there is no “Region” setting in the firmware. The newer models like the Fuze, Clip+, etc. have this as there is only one firmware version.
In the e200 series, there are different “regional” firmware versions; one for America (ending in an A), one for Europe w/FM capablilites (suffixed with an F), and one for Europe with no FM (suffixed with an E).
You could manually re-install the firmware. The download links for the different versions complete with installation instructions can be found here . . .BUT . . . in going back to your original problem (low volume), I remember that the EU restriction did not come about until way after the last firmware update for any of the e200 series were released. So resetting your player or installing a different firmware update version will not help you.
What might have happened though is that by updating the firmware, the player reset itself back to Factory Defaults, which includes settiing the Volume setting to Normal. You might have previously had it on High. This is very simple to ‘fix’. Browse through your Settings menu; you should see a “Volume” option. Just set it to high and your volume should be restored. 
