I suspect your zumo doesn't have enough internal memory to load all of Europe into. I know that here in North America, a lot of gps units don't have enough memory now. Garmin has been adding a lot of data to their mapsets, so we're either forced to load only a portion of North American into the internal memory, or load all of North American onto an SD card. (Best to use a 4GB card) The SD card option is a little slower when operating your gps, but that's the tradeoff.
I'd try loading Europe onto an SD card and see what happens. You may have to erase, or replace the present CN Europe in the internal memory with an older version so that your zumo doesn't get confused by having the same map on an sd card as well as in it's internal memory too.
After loading to an sd card, go to your map info page and check off the mapsets you want displayed.
Hope this works for you.
Cheers from the other side of the pond.