See title. I have applied a no-keyframe Gain/Volume filter to an MP4 clip, and there is no perceptible difference in the preview playback between -40dB, -15dB, or +17dB. The Audio format for the clip is listed as AAC, 2-channel, 48KHz.
This is not a bug; you are previewing footage that does not correspond to the selected clip (selected clip has a red outline). Filters only apply to what they are attached to: the selected clip but not all clips from the same source.