No, I've not noticed this before, nor I have a bought a new iPod recently.
Hunting around I can find this reference on page 25 of the iPod nano manual
Note: In some countries, you can limit the maximum headset volume to the EU recommended
level. Tap Settings > Music, then tap the switch in the EU Volume Limit section to turn it on
but nothing similar in the iPod classic manual. Can't see a good reason to argue with the pics though, so it looks like it has been made a user choice in recent models.
Ah! Shipped by Apple as standard, but other retailers often have old stock.
I managed to nip into Currys this morning and found a Classic (on display) with software version 2.0.4 MAC on it, and which does not appear to have the EU volume option. The two adjacent nano models did have the option, one set up on a PC and one with MAC (I assume).
In addition, Amazon is currently selling Classics described as 6th generation and 7th generation. Needless to say, any information online regarding this EU cap is not to be relied upon.
It's not hard to know what posts we'll see about this.
It's still my intention to check out a Classic in an Apple store, as they should have only the latest version, which presumably, will be running OS version 2.0.5. I believe also, that a Classic with 2.0.4 cannot be updated to 2.0.5.