It looks like you're confusing sound quality with volume. It seems there's nothing wrong with the sound quality of the aux output; it's just at a lower level than the CD player's output.

There's nothing stopping you plugging the headphone output into the amplifier. That way you can adjust the volume on the Zen to match the CD player. Otherwise, it's a choice between ripping your amplifier apart to try to increase the gain on the input you connect the Zen to, or putting a potential divider (four resistors in total) in the lead from the CD player, to bring this down to the same level as the Zen aux output.

The headphone output is amplified, the aux output isn't. The aux output is for use with an external amplifier, e.g. HiFi. Hence the difference in loudness/amplitude.

Savvy? :-)