When you are talking wattage, you are talking "power amp" wattage.
The 5, 15, and 30 watts refers to how much "clean" power the power amp will produce before "clipping". It is this clipping that causes the nice tube distortion sound from a tube power amp.
So, the 5, 15, and 30 watts also refers to the power level where the power amp will begin to clip.
I can only guess that the volume difference between 5 and 15 watts is that in 5 watt setting the power amp tubes are configured to run "single ended", and in the 15 (and 30) watt setting the power amp is configured to run "push pull". This also may be why the volume is the same at 15 and 30 watts.
At lower volumes I would expect there to be no volume difference between 15 and 30 watts. You may be using all of the 15 available watts of the 15 watt setting, and only using the first 15 watts of the 30 watt setting, so no volume difference.
At higher volumes, I would expect the 15 watt setting to sound more distorted (not louder) than the 30 watt setting. At the 15 watt setting you could be exceeding the 15 watts available (or clipping), and getting distortion, while in the 30 watt setting you are not exceeding 30 watts, and getting "clean" sound.
Again, this is all with regard to the behaviors of "power" amp section only.
-Gary K