If you want to update the Performance VOLUME stored with the LIVE SET, you have two options: (easy way, hard way)

1) Simply change the LIVE SET Volume setting
2) Change and STORE a new Volume by overwriting your User Performance then place the newly stored Performance to the Live Set, overwriting your previous Live Set entry.

Method 1
Simply change the LIVE SET Volume setting
While in the LIVE SET
Press [EDIT]
Change the Live Set Volume (lower right corner)
Touch "Done"

Method 2
Change and STORE a new Volume by overwriting your User Performance then place the newly stored Performance to the Live Set, overwriting your previous entry.
While on the PERFORMANCE (HOME) screen
Press [EDIT]
Press [COMMON]
Touch "General"
Change the Volume
Press [STORE]
"Overwrite current Perf."
Now you have Stored a new Volume, return to the HOME screen
Hold [SHIFT] + [LIVE SET]
Target the previously stored version in your LIVE SET.
The stored Performance Volume, becomes the Live Set volume (but as you now know, you can simply offset that volume locally in your Live Set entry).

Fact: The LIVE SET entry has its own separate Volume setting
It's a feature, that allows you to Store the same Performance in different Live Sets at different VOLUMES. If you need this you will really appreciate it. If you don't, I guess you'll scratch your head until you see this advantage.

I can store the same Performance in a Live Set three times in a row - each with a different 'Live Set' Volume.
Say I need my main piano at 127 for the rubato introduction, then lowered to 100 for the verse, and 112 for the chorus... I could store three instances of the same Performance in a row and use a Foot Switch to advance between them.

Hope that helps

Thanks for the reply Bad Mister.... It was very helpful.

I didn't realize there was a difference between Performance volume and Live set volume and now I see how that could be useful.

-Byron