Odds are good that the zone 2 output on your Denon is turned down really low. To test this, plug your zone 2 RCA connectors that are currently on 'zone 2' on the back of the Denon into the 'VCR OUT' RCA jacks on the back of the Denon, then turn on the FM radio. Do you have enough volume now?
If so, then your zone 2 volume is turned down.
Your setup that you are describing works fine, but you are doing volume control twice. If you aren't going to use the Denon's built in volume control, then make sure it is up high. It should be at 0db for pure signal pass-thru to your JVC.