It looks like you has the volume cap, if you are getting beeps and warning, as that is what the EU volume cap does. Your Destination: CEW/CEW2 is Western Europe. You need to set the destination to other than EU. Your screen shot with Sound Pressure: OFF says you can get a higher volume, but with warnings.aha...works! looks like it was like this by default or the previous owner removed the volume limit but without 'Reset all settings'. The volume is slightly enhanced, 100 level is enough now and i get beeps and warning when increasing it above 80 or so.
Also, if you want to use the Bluetooth remote, some Regions do not have that, so need to pick a region that does have it (Region E for Asia/Australia has the RMT-NWS20 BT remote in the chart)).
But you will not see the High Gain setting until you set it to a Region other than Europe, that has it. On the chart, it says these regions have High Gain: CA, CN, E, E2. The chart shows you what regions are uncapped, etc.
https://www.rockbox.org/wiki/SonyNWDestTool
BTW, I have not needed to do any uncapping, so I have no first hand experience with this. Other people on this forum have much more first hand knowledge in this area.
Destination codes: There may be some inaccurate information in the table below because of Sony's inconsistent naming scheme. Indeed destination codes sometimes vary from one service manual to another. In doubt, choose "U" (USA), it often a good choice.
Destination code Area Volume Language FM range NW-WM1 NW-A20 NW-A35
J Japan uncapped Japanese only (NW) / multilingual (default Japanese) (NWZ) 76 - 95/108 MHz Line-in recording menu and settings (WMC-NWR1 cable necessary); specific profile setting for MDR-NC31/NWNC33 NC earphones; ATRAC (Lossless) playback* Line-in recording menu and settings (WMC-NWR1 cable necessary); specific profile setting for MDR-NC31/NWNC33 NC earphones; ATRAC (Lossless) playback*
U USA uncapped multilingual (default English) 87,5 - 108 MHz
U2 USA uncapped multilingual (default English) 87,5 - 108 MHz
U3 USA uncapped multilingual (default English) 87,5 - 108 MHz
CA Canada uncapped multilingual (default English) 87,5 - 108 MHz "High Gain Output" available
CEV East Europe uncapped multilingual (default English) 87,5 - 108 MHz
CE7 ? ? multilingual (default English) 87,5 - 108 MHz
CEW West Europe capped and warning [Check the volume level] at some point multilingual (default English) 87,5 - 108 MHz
CEW2 West Europe capped and warning [Check the volume level] at some point multilingual (default English) 87,5 - 108 MHz
CN China uncapped multilingual (default S Chinese) 87,5 - 108 MHz "High Gain Output" setting
KR Korea ? multilingual (default English) 87,5 - 108 MHz
E Asia / Australia / NZ / Tourist uncapped multilingual (default English) 87,5 - 108 MHz "High Gain Output" and "Remote Control" (RMT-NWS20 necessary) settings
MX Mexico / Latin America ? multilingual (default English) 87,5 - 108 MHz
E2 Asia / Australia / NZ / Tourist uncapped multilingual (default English) 87,5 - 108 MHz "High Gain Output" setting but missing "Language" and "Text input" settings
MX3 Mexico / Latin America ? multilingual (default English) 87,5 - 108 MHz
TW Taiwan uncapped multilingual (default T Chinese) 87,5 - 108 MHz
* ATRAC files need to be added in J code so that the device recognize them but you can switch to another destination code later, they will still be recognized as long as you don't rebuild the whole library in the settings.
NB: It is possible to get an English UI (not multilingual though) instead of a Japanese UI as well as a 87,5 - 108 MHz FM range on a Japanese device, switching from "J" to another destination code. This was successfuly tested on a Japanese NW-A850 (=NWZ-A840 with Noise Cancelling). See the picture attached.