Yeah they don't and it's weird that it's still capped. I returned my UK ZX1 for that reason and bought a Japanese unit off of soundblast75 and its definitely louder - I'd say that 100% volume on a UK one is about 70-75% on a Jap unit. Not much but that extra headroom can come in handy.
I had the same criticism many pages back and I sort of don't understand - when competitors like Apple allows you take tick an option in iTunes to disable the limit and Sandisk players (correct me if I'm wrong) allow you to change regions to get around it. Especially on an audiophile-grade product!
Sony did use to have the volume cap disable feature on their earlier EU flash walkmans via the engineers menu by pressing the hard buttons in the right sequence to enter this menu. Why Sony could still not continue this sort of workaround on previous Walkmans until present day if other manufacturers use their own method of side stepping the issue one wonders?