The sound settings aren't useful for changing the overall volume level. As you said, you either have to go to the XP settings or the speakers themselves. But what it does allow you to do is set relative volumes. An extreme example of this would be for players who play on 1x time compression. They can set their speech volume much higher than the rest of the game. So their watch officer calling a new contact can be heard over the TV, while the sound of the thunderstorm in the patrol area cannot.
"General" affects normal ambient sounds in the game (e.g., internal sounds of the U-boat, weather, waves, etc.). "FX" is almost exclusively the sounds of combat (e.g., weapons fire, explosions, etc.)