You mention the volume block, so I assume you assigned your expression pedal to one of the 8 available external controllers, correct? Then, in your patch, you efited the volume block, placed your cursor on the VOL parameter, hit Enter to go into modifier mode, and assigned the SOURCE to that same external controller (i.e. EXTRN 1 or whichever you assigned to your expression pedal), right? And when you activate your expression pedal while viewing that modifier modifier mode page, you can see the "dot" moving up and down along the curve on the screen?
If I got it all wrong (i.e. if you're trying to set up your expression pedal as the global out level), then try to give a bit more details, I'm sure someone will be able to help you more effectively.
Daniel