The reason the SNR specs for the Pulsus (and most other phono stages) worsen as the gain setting is increased is probably that they are defined relative to a reference level at the output of the phono stage that is the same, regardless of gain setting. Therefore the measurement for higher gain settings will be taken at a lower input signal level, reducing SNR in the circuitry at the front end of the phono stage. That in turn figures to generally be the most critical point in the signal path with respect to overall SNR performance, since signal levels are lowest there.
In contrast, your experiments involved a fixed input signal level. So the SNR differences you obtained for the various gain settings presumably resulted from differences in the relation between signal levels and noise contributors at points in the signal path between the phono stage's gain adjustment provisions and the volume control in the preamp (inclusive). As you indicated, the net result of all of that is probably not analytically predictable.
Regarding comparisons between SNR specs for the phono stage and the preamp, while in general it can be expected that the SNR performance of a good line stage will be superior to that of a good phono stage, I would comment that a direct comparison between the numbers is pretty much meaningless in the absence of specified reference levels. Unfortunately, SNR specs are commonly presented without any indication of what signal levels they are referenced to. That is the case for these particular components, as can be seen
here and
here.
Regards,
-- Al