Wow! I had no idea you needed to do that. Awesome that you figured it out.
Now that I know this, I think you could have found out by using FileZilla or CyberDuck to connect, as it would show the paths.
I do recall that Synology monkey patches sshd with some login integration. It sounds like they patched sftp as well such that it does not expose the /volume stuff, which is really confusing as they have not (and could not) patch normal ssh access the same way.