MIDI and volume

Some of the following will probably be confusing, but here's a quick summary:

MIDI events themselves do not have volume information in them. They have velocity information (essentially a measure of how fast the keyboard key was travelling when it bottomed - on a scale from 0 to 127). Some synths/patches respond to velocity by varying output volume, but some do not. If the issue is getting volume response to different velocities, you might just need to choose a different synth, or add velocity response to the patch's programming.
 
Overall volume is controlled by adjusting the audio output level of the synth, and of the track hosting its output. The synth's output can be adjusted directly in the synth GUI, or by using MIDI Volume Control Change (CC7) messages or a MIDI Volume automation envelope in the track, or by setting an initial volume with "Volume" widget in the MIDI track. But, again, some synths respond to CC7 by default, and some don't.

Normally, you don't have to worry about the synth's output level, and can just use the Instrument track's "Volume" widget to control the overall output level.