Has anyone gotten the display to dim when the headlights are on? I have the wires connected, it does nothing.

Have you looked at this?

With the volume up, and the gain controls adjusted properly, it doesn't seem like the stereo is that loud. Nothing compared to the stock system. Is this because of the Ford amplifier?

The stock system probably put out something that was higher voltage than regular line-level. A lot of these factory systems come out of the head unit already amplified a little bit.

If you plugged the empeg straight into the factory amplifier without going through a converter box of some kind, I'd say that's the reason. There are companies (such as Pacific Accessory Corporation and others) which specialize in making these amplification/converter systems. You might want to check those out.