Dynamics

What is the difference between dynamics and volume change?

Dynamics like "fff" or "ppp" indicate the note velocity.
By principle, they can only be applied at the time the note is started. For example, a pianist can press a key more or less strongly, but cannot control the sound once started.
A different velocity (starting power) produces a different sound, and not only a change in volume.
A piano played fff is not simply a piano ppp played louder.

However, some instruments can produce volume variations while note is played. For example, a violinist playing a long note, or a flutist who can reduce the breath pressure to soften the volume.

When switching to graphical edit of note velocities, sometimes the line splits into yellow and red. Why?

The red line shows the actual (played) velocity, while the yellow line shows the written velocity. These two curves are different as soon as a dynamics is present in the score.