I log into the MPD daemon like you suggested, and tested the commands that you gave. Maybe this will clarify.
I can use the setvol command to change the volume to whatever, this is reflected on the volume knob on the web interface also. No issues.
But, I can also use the knob on the UI to change the volume to whatever and this is reflected when I do the status also in the MPD daemon console. So if I change the volume to 5 on the web UI and do status, it shows as 5 on the console output from the status command.
The issue is that none of this affects the volume experienced from the speakers, it plays at what appears to be full volume regardless of what is on the volume knob in the UI or returned from the status command.
This issue is not experienced using the Volumio webradio. I do not have other sources to test but I imagine it is specific to Spotify.
If I use the spotify client on an apple product (mac, ipad, iphone) and use airplay, then the volume can be adjusted from those clients without any problem. I would prefer to use the volumio web UI as we are a mixed family (IOS and Android) .
Hope that helps clarify.