He's probably talking about the volume settings in the Synth screen, which affect the amplitude of the waveforms drawn on the Wave screen for use in the wave channel.
This is correct. The WAV *instrument* has three volume levels, but the *synth* itself has 16 steps of volume, controlled by the parameters of the synth screen.
waveboy stated that a volume of 5 at the start and end would not result in a change. Not sure why you would expect volume to change when the start and end volumes are the same...