Volume levelling

My setup is Meridian MS600 with coaxial into Hegel H360 integrated amp.
In this setup I can’t use the Roon volume levelling.

But when I use the XLR or RCA from MS600 into the Hegel, then I can use Roon volume.

While playing via Airplay to the Hegel, then I can use Roon’s volume as well.

Everything is connected via LAN.

Is this the way it should be?

Thanks for input.