The first point to make here is, the volume of water inside the system is constant; it cannot be altered, unless you physically do something to it, such as, remove or increase the amount pipework or radiators.
Imagine the radiator valves as temperature controlled gates, in that they open and close, either partially or fully. If you set them at their highest they will generally remain fully open without restricting water flow. The lower the setting, it therefore follows that they will restrict the water flow sooner as they reach their set temperature. They do not increase or decrease the volume of water inside the radiator, they simply restrict its flow. Where water flow meets a closed valve it simply by-passes that radiator. The more valves that are closed simply means there is less free flowing water to heat, meaning that the boiler won't be on as long, meaning less gas used, meaning lower bills.