This is normal. The radio and playing CD's should always sound louder than the XM radio and possibly even your mp3 player. It all depends on compression. XM is digital and has a very low compression rate. I found varies articles and posts; some say XM/Sirius is around 96, others as low as in the 30s, and others up to 192. This is all in kbps. Your mp3's on a player or cd will sound louder if they are compressed higher than this. I only use an mp3 rate of 320kbps, which is the highest mp3 rate...after that is wav. Of course, the higher the rate, the larger the file.
This may help...
Dynamic range compression - Wikipedia, the free encyclopedia