Excellent, best of luck, please let us know how it goes.
The recording level is fixed on the PP-3 (and all other devices using USB Audio CODEC). The slider just adjusts digital gain, which is a Bad Thing*, so we have (and recommend the use of) the 'Set Digital Gain to 1' button in the Check Level dialog with these devices.
To put it another way, you're not missing anything. NAD have calibrated the PP-3 for the most popular cartridges so you should be OK.
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*Because it either masks clipping in the analog to digital converter or increases the likelihood of clipping the digitised signal, depending on whether you set it below or above 1. What you want is a direct signal path and setting the digital gain to 1 (which is the only option with ASIO) achieves this. If the recording is too quiet, use the 'Normalise' button in VinylStudio's Graphic Equaliser dialog after recording.