The velocity affect's a single note's volume (and maybe other parameters).
The expression (CC 11) affects the entire channel, and should be used by the file for temporary changes.
The volume (CC 7) affects the entire channel, and should be set once at the beginning of the file so that the player can adjust it later.
The master volume (universal SysEx 04 01) affects all channels and should not be set by the file.
There is no guarantee that files do what they should do.