If you have MIDI Activity enabled in the upper display(you need to have Custom enabled to see that), just move your mod wheel and check what controller number it displays when you move the mod wheel. It most probably is CC#7 or 11, as David says you can’t alter velocity with a controller such as a mod wheel. If it’s any other CC# it means your synth’s volume is programmed to be controlled by that CC# in some way.
Or your synth’s volume/module is programmed to be control by CC#1, which is the usual CC# a mod wheel sends. Looking at the display will give you a hint at where to look for for a solution.
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