If I reset U2, does it mean that all data in iAUDIO U2 is deleted?
No. Resetting of iAUDIO U2 doesn't erase any existing data, but reset inner management system inside of iAUDIO U2.
Just one thing for your reference, if the device is turned off properly, the settings you have changed will be saved. However, if the device is turned off automatically by the function of "Auto-Off," then all the settings will not be saved.
If you press RESET button due to a device malfunctioning, the settings will be lost and it will be returned to a factory default setting.