If it’s not working, make sure that MIDI Parameter Receive is set to the right value (NRPN, CC, or All).
If you use the Volume CC (7), I think that value is added to the physical knob volume, so keep that in mind.
If you use NRPN, try VCA Level or Voice Volume (41,29,229), or the Quad NRPN for VCA Level.