Note velocity and note volume are not necessarily the same thing.
A velocity sensitive MIDI instrument will alter the sound it makes depending on how hard the “key” is struck. Usually this will involve an increase in volume but it is often much more about timbre. A piano played pp (low velocity of key strike) sounds not only quieter but has a different timbre to a piano played ff (high velocity of key strike).
Some real instruments don’t respond to how hard you hit the keys. They either make a sound or they don’t. A pipe organ is an example. So, a properly implemented pipe organ will not respond to velocity information in the NOTE ON/NOTE OFF messages.
MIDI volume (and/or expression) does what it says on the tin. It changes the overall volume of the sound; the timbre will remain unaltered. For instance, you could make an pipe organ patch play quieter by reducing the MIDI volume even though the instrument would not, if implemented realistically, respond to velocity.
In general then, if you want the sound to be quiet or loud use volume or expression (and it will affect the whole patch). If you want to simulate playing “hard” or “soft” use NOTE ON/OFF velocity data (and it will affect each note individually if the instrument is capable of being played “hard” or “soft”).