I don’t see how can use it to control the volume level. Is this possible?

Use the Apple TV Remote app - Apple Support

“Want to change the volume using your iOS device? Receivers with HDMI-CEC volume support let you adjust volume with the volume buttons on the side of your iOS device. You just need to plug your Apple TV directly into your receiver and not into your television. Get help with HDMI-CEC.”

To control volume on your TV, receiver, etc., when using the Apple TV Remote app, you use the volume controls ➕ and ➖ on the side of the iPhone.