I have raised this before and I think the situation is the same with 2017.

The Master/This Song volume change at the bottom of the mixer does not work when using an external midi synth. It only works when using a VSTi/DXi synth - also doesn't work when using Microsoft GS Wavetable Synth. I find this inconvenient because I often want to change and save the master volume for a particular song when using MIDI styles. Also you have to be careful because if there are both MIDI and RT tracks in the style then only the RT volume changes and the MIDI volumes stay the same.

Tony