It's impossible to use USSD with Droid 2 Global when using a non-Vodafone SIM card. Simple as that.
If you need to add services, or check balance, some carriers provide text numbers to which you send an empty message and receive a message with account balance etc in return.
There are also sites provided by some carriers that allow you to configure additional services and check your balance.
You could get a cheap European dumb phone, and check the balance by putting the SIM card from your Droid into that dumb phone. But I agree, that's just a pain in the ass.