Finally got my European Sony NWZ-F806 (for Russia and Ukraine). I don't know if there is a volume cap or not (Russia and Ukraine are not in European union), the device is powerful. On most compositions there are no distortions even on maximum volume level. I'm using MDR-EX1000 and maximum volume is too loud actually. Comfortable volume is about 50-60%. Tried comparison to Cowon S9 side by side, which has no power limitations (and 29 mw per channel) and to my surprise, the maximum output sound power is pretty close. I'd say cowon is a bit-bit louder but not so clean-sounding.
In general the sound is just amazing, so clean, airy, powerful deep bass. I'm really having a great fun listening to my favorite songs again.
But want to share an observation.
it sounds distorted on bass if "Clear bass" is more than 0. You can check this. Starting from 0:40. That's really strange, because all other songs with even more bass are played without any distortion, player really drives headphones well, even full headphones are physically shaking when volume is high enough.
I went further - attached Fiio E6 to sony headphone out and tried - this distortion again, which is even not dependent on the volume of Sony F806.
My conclusion is that the music file has too high level of signal inside and Sony's digital system inside cannot handle it properly. By the way, Cowon S9 has no distortion, Iriver H320 has no distortion.
Please check on your devices.