Your Circulator is working exactly as it is supposed to work, although I would not have designed it that way.
In PHASE mode, the wet & dry signals are combined. The DEPTH control sets how much wet signal you get. When DEPTH is at zero, you get only dry signal. When DEPTH is at max, you get more-or-less equal amounts of wet & dry signal and the phasing effect is the strongest.
In VIBRATO mode, the dry signal is switched off; you get only wet signal at the output. Since the DEPTH control determines how much wet signal gets thru, turning DEPTH down reduces the volume. In other words, the DEPTH control is a volume control in VIBRATO mode. If you want unity gain in VIBRATO mode, then set DEPTH to max.
Look at the schematic if you don't believe me.