1. What you are experiencing with the AudioBox GO is normal and expected behavior. As long as you are not overloading the input and causing the red input clip led to light, you are ok. For some microphones it may take the maximum gain.
2. For Mac OS, anytime you use most external audio interfaces, the hardware volume knob on that device takes the place of using the digital audio controls of the Mac speakers/headphone out. This is normal.