I did a quick google search and found that your zumo has an internal memory of 4 GB, not 32. That should be lots of memory to hold all of Europe. You won't need to utilize an SD card.
(I went back to your original post and realized that you're usinig Base Camp, and not Mapsource. I don't use Base Camp as I believe it only allows you to download maps directly to your gps. Mapsource allows you to download to both the gps and your computer, which, in my opinion, allows you more independant flexiblilty to transfer mapsets, routes and waypoints to your gps.)
If you've deleted the image on your gps (gmapprom.img) then confirm the remaining space available on your gps by plugging in your gps to your computer, turn the gps on, the click on My Computer, then right click on your gps and display Properties. That should show what the total memory size is and the remaining memory left. If you have 2 GB or more remaining available, then you should have enough remaining to hold all of Europe.
I don't know what the mapset Western Europe is in your first post. Perhaps you downloaded all of Europe and Western Europe (different versions?.... 2011 and 2013.20?) It may be labelled as gmaprom2.img? If so, that may be why you don't have enough internal memory. I should've said in my original post to save the images on your computer before deleting it. This allows the ability to put the image back onto your gps rather than downloading from garmin again. If you have this gmaprom2.img, back it up, then delete it from the gps. Download all of Europe again, set your settings in your gps to show More Detail and see what happens.
If you still have problems, give garmin a call. They seem to be more than willing to help us frustrated users get through issues.
Hope this helps a bit.