Gain just means an increase. That increase will be measured in amplitude and volume.
Velocity is a midi term that describes how forceful a virtual note is played.
Amplitude is a measurement of how 'large' a sound wave is, but there is no linear scale between amplitude and volume. Volume (perceived loudness) is based on a lot of things one of which is frequency. A high amplitude of a high frequency won't seem as loud as a medium amplitude of a mid-range frequency (unless you're a dog).
Volume is most often measured with decibels, but there are a lot of different kinds of decibels. The one we use most often is dBFS of full scale. With this 0dB is the point of distortion for a sine wave. You'll use this scale to measure 2 main things with regards to volume, peak and RMS. Peak is your momentary maximum, while RMS (Root Mean Squared) is basically your average level. You'll find you can have a peak of -1 but your RMS will be at -20. The meters on your board or DAW are most likely peak meters to make sure your recording isn't clipping while a master RMS meter will tell you the 'volume' or how loud something appears to be.
Those are just the bullet points, this could easily be a 50page explanation of how those terms work