the volume restriction is software based. besides anyway it's not very good for your ears to listen to music over 104 db (the euro limit, was only in france first).
the plug to power outlet looks different. but it works, the ipod works 100 - 240 v. just get the adapter.
one MORE thing: the majority of EU countries gives you a 24 months warranty for the ipod. if you get a 24 mo warranty for ipod from US, add other 60-70 $.
otherwise, no difference.
if you have any apple thing with the brick in power outlet ('Book ..) ytou can use the spare plug of it. Those of iPod, iBook, Powerbook are changeable with each other. So if you use your 'Book with the long cable, you can use the short plug for the iPod meanwhile (and the US plug with your 'Book when/if you travel to US).