This happens to me in Reaper as well.
Good volume, render down, open wav or mp3 in, say, Windows Media Player, and it's much quieter.
I don't think the audio is physically rendered quieter, I think it's the "headroom" of whatever player you use to play music.
I think it's something to do with interface/monitors being used in the DAW/ASIO setting compared to using interface/monitors as default soundcard in the OS.
But I could be totally wrong here. Too much "think" and not enough know.