> Do I have to copy it to densities_N1.txt and can I use it the next splitting step for N1 when I use --split-file=areas_N1.list (renamed back to densities.txt?)

no, if you use the split-file parm then splitter doesn't need that info.
I thought that you run splitter seven times with the different poly files and the
same large Europe.osm.pbf. Each execution will do exactly the same work in the 1st phase,
and the result will also be the same (you can compare the different densities files.
So, a possible solution to speed up processing would be this:
osmconvert --drop-version europe.osm.pbf -o=europe.o5m
java -Xmx1000m -jar splitter.jar --stop-after=split europe.o5m
move densities_out.txt densities.txt
java -Xmx2G -jar splitter.jar --polygon-file=p1.poly  ... europe.o5m
java -Xmx2G -jar splitter.jar --polygon-file=p2.poly  ... europe.o5m
Whenever you update the europe.o5m you must create a new densities.txt.

Gerd