Sorry you spent so much money and aren't satisfied... If there is an audio/video store you can visit, it would probably be worthwhile to try some different headphones with your player.
Note that with headphones there is almost no correlation between sound quality and price so you may not to spend more (and you might be happier with something less expensive).
Different headphones sound different and they have different sensitivity (loudness). If you can find a spec for your headphones you can compare to alternatives.
You can also compare the output voltage of your DAP to alternatives.
Everything reviewed here is measured so you can compare if you can find specs for your existing equipment.
The balanced output is likely double the voltage which is 6dB louder. That's very-noticeably louder but not tremendously louder.
The DAP (or phone, or whatever) doesn't normally have any particular "sound" except for any EQ applied. So it comes down to features, battery time, and "loudness", etc.
For headphones, see
Harman Curve and
Understanding Headphone Measurements (video)