There is a "Sublime Text" folder in my "/Volumes" directory. Why is it there and not in Applications? I do not know how Mac's applications work. I am new to Mac.
You can install your application to any folder you want. I found a nice description to install an application on a macos. If you do the installation you only copy the application from the dmg file to the applications folder. Maybe you can remove your installed sublime text by moving the application to the trash and reinstall it.
At the end I would recommend you to use Homebrew/Cask to install your applications. I think that makes it easier if you do not want to use the graphical user interface.