I do this, too.
When I decrease gain I loose volume. When I decrease volume (for rhythm) I want gain to stay and I can achieve that by putting the volume pedal at the end of the signal chain (right?) so then everything is sounding at at a lower volume.
It's getting a bit more complicated when I have a clean sound (no gain) for rhythm and now want to play a louder distorted lead solo. For this I use the same rig (or use another amp preset) and increase the gain, save the rig and assign it to a next midinumber for a rig change. Again I can control volume this way with the volume pedal (within Rig volume), set at Location (the end of the signal chain). Right?