Yes, everyone is correct.
When using the SENA Bluetooth dongle, the volume controls on the handlebar only adjust the speaker volume, not the volume of the radio to the bluetooth headset.
You can get a little boost of the volume directly from the radio by increasing the treble and the bass controls. Too much increase and the sound will become unpleasant.
If you double tap the center button on the sm-10 bluetooth dongle, you first enable the volume boost, and double tapping again disables the volume boost.
The headset volume is then controlled by the control on the individual headset.
The mute function works from the handlebar controls.
You can set the bike speakers to "off" from the audio page of the lcd in order to avoid hearing an echo. By echo, I mean the sound coming from the bike speakers and the headset at the same time. There's a little bit of a delay to the headset speakers, and the echo is, in my opinion, undesirable.
For myself, I've found a better way. I prefer to keep the speakers "on" but the volume at the very lowest. That way, when you choose, it's very easy to listen to the bike speakers when you choose, without listening to the headset, either when parked, or when washing the bike, etc.
As always, my free advice comes with a double your money back guarantee.