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It's all a matter of the signal path. The knob next to a sound in the step sequencer is the volume of the sound at the start of its 'life'... it then works its way through to whichever mixer channel it's assigned to, goes through whatever effects are on that channel, and then is attenuated according to the fader.
If you assign multiple sounds to the same mixer channel, the fader will attenuate all of these sounds together (but the balance between them could still be controlled by their volume knobs in the step sequencer).
So which one you want to change if you want to make something louder/quieter essentially depends on how your sounds are arranged: do you have a separate mixer channel for every sound, or are some sounds share channels?
If every sound has its own mixer channel and you're only using linear effects (e.g. EQ, delay, reverb), it may not matter which one you use to control a sound's volume.
However, if you have non-linear effects (e.g. compression, noise generation) on a channel, there may be a noticeable difference between changing the volume at source (the sound's volume knob) and changing the volume on the mixer post-effects. Which one you change depends on why you're changing the volume, what effect you want to achieve, etc.
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Stu Cox | 

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