Firstly, some context:
The reason for this is that Dorico uses Cubase’s pro audio engine, and the default setting for the audio engine is that if you set the output fader to 0dB, then the sound card output is at 0dB. This is very important in a professional context because you need to rely on the levels. Also in a professional context you never have the soundcard output connected directly to the speakers without some kind of volume control.
However, this can catch you out if you are not used to this of workflow. Fortunately there is an option: In Dorico / Preferences / Audio Device Setup press the Device Control Panel button and untick the option to ‘Set Device Attenuation to 0dB’. This is something that you should only need to do once and then and the setting is remembered for future sessions.