This is because Bluetooth (in this instance) is being used as a wireless connectivity for sound, so the initial volume is controlled by the sending device. The receiving device (the headunit) can multiply that volume but only so much.
As @
swarb said, start with your phone (or whatever the device is) first, then adjust the radio. My phone, for example, won't broadcast sound above what it believes is the max volume for a headset. To go beyond that you have to acknowledge that, "yes, I know if I listen at a higher volume I will most likely go deaf".
When connecting over USB, the headunit is given more control.
yes, this is an oversimplification and there are exceptions, but this is how it works most of the time.