Most importantly, you should always follow the result that gives you the best performance and experience.
For the record, however, from our engineers and Audio Note's engineers, when using the Headphone out it's recommended to actually set the Windows/Main volume to 100%, and then raise the Headphone volume slider from 0% until the audio level is sufficient for your headphones. When the main volume is at 100%, that's the default volume level for the Software side before being passed to the audio card. Therefore, lowering the volume is simply making the original signal quieter, which may or may not reduce the dynamic range of the source, and will occur before the DAC processes the audio. When using the Headphone amp, you're adding power to the headphones to drive the signal properly, but if Windows/Main volume is lower, then you're amping an artificially quieter signal and giving more power than the headphone actually needs. This can also have the added side-effect of adding more noise to the source because the amp is now working harder to bring the signal level back up to the original level. Because of these interactions, it's possible that the final outcome may result in a signal that does not actually match the source audio (although we're really only talking about a slight difference).
Generally, the last volume control in your signal chain should be what you use to increase/decrease the volume. Everything that comes before (in this case, just Windows/Main volume) should be set to 100% (or very close to 100%; some opinions vary, so just stating that for the record).
Examples of some common scenarios. For simplicity's sake, assume I'm referring to an integrated amp here, and we'll leave the pre-amp/amp discussion for another day:
- Windows/Main (100%) -> NU Audio Card -> (DAC) -> NU Audio Card Headphone Amp (Control Volume Here) -> Headphone Out -> Headphones
- Windows/Main (Control Volume Here) -> NU Audio Card -> (DAC) -> Line Out -> RCA to 3.5mm / 6.3mm adapter -> Headphones
- Windows/Main (100%) -> NU Audio Card -> (DAC) -> Line Out -> RCA to 3.5mm / 6.3mm adapter / RCA cables -> Amp (Control Volume Here) -> Headphones
- Windows/Main (100%) -> NU Audio Card -> (DAC) -> Line Out -> Powered Speakers (Control Volume Here)
- Windows/Main (100%) -> NU Audio Card -> (DAC) -> Line Out -> Receiver/Amp (Control Volume Here) -> Passive Speakers
- Windows/Main (100%) -> NU Audio Card -> (DAC) -> S/PDIF Out -> Powered Speakers / Sound Bar (Control Volume Here)
- Windows/Main (100%) -> NU Audio Card -> (DAC) -> S/PDIF Out -> TV / Receiver (Control Volume Here) -> Passive Speakers
Yes, I'm going to take a pass on S/PDIF to TVs with sound bars, since there are too many combinations and TV/sound bar interactions for this sort of post, lol.
Now, bear in mind that there's currently no way to change the Headphone volume in the NU Audio Software without Alt-Tabbing out of a program or manually moving it up or down in the NU Audio software, so I can understand that people might want to have some flexibility to raise and lower the Windows volume using hotkeys or through the actual program. That may require a bit of testing to find the right balance (e.g. set Windows/Main volume between 75-90% and find a good balance with the Headphone volume).
Ultimately, the OP's suggestion and my post here both recommend essentially the same tactic, but from different ends. Whichever way you find better for your own listening, start by setting one to a fixed value and work on the other to adjust the volume level, and then stick with that process so that your listening experience remains consistent.