Yes, the phone essentially has 2 volumes:
1) In-call volume, on a scale of 1-10 (same setting applies to speakerphone)
2) Everything else, on a scale of 0-30.
This is one of the more common gripes.
Here is your workaround if you do not want to hear notifications while playing a game (or listening to music) : Begin playing the game/music, and set the volume how you want it. Press the volume rocker up or down, and then tap the button on the top right in order to toggle from ring + vibrate to just vibrate. Your app and music will play normally, but you will just get vibrated for texts and calls, etc.