The wave volume meter won't move, but if you close and reopen sndvol32.exe after changing the Winamp volume, you will note a change in the level. This is because Winamp is indeed changing the wave volume. Go into the Control Panel applet where you configure your system sounds, and select one of the sounds. If you play it with Winamp at alternatively low and high volumes, you will note that the volume of the system sound is changed as well, outside of Winamp. You can do this with Winamp paused in order to hear better, if necessary.
This is a bit beside the point anyway. MC9 sounds better to me with APE files than Winamp does; I can't say for sure why that is.