I thought mine was weird, too, but after some experimentation, I think I figured it out. It just seems to work a bit different than my S5.
To me, it seems like 'Sound','Vibrate' and 'Mute' Sound Modes are just irrelevant labels. They may as well be A, B, and C, and operate as a sound 'scene'. Depending on which one you select, the Volume settings for Ringer, Notifications, Media, etc.. can be adjusted to your preferences, then you can switch between modes. If you adjust a volume within a scene (either via the buttons or the sliders in the settings), it should stay at what you set it at. The one thing that I'm still monitoring is that the media volume sometimes seems as if it's independent of the mode you're in.
That's what it seems to me, anyway...