It’s a common mistake. The gain seems to mostly appear in the last few notches of the slider. This has changed since the earlier version of the software, where the gain slider was more progressive.
The other trip-wire is frequency entry. People just enter the digits without the ‘MHz’ key and wonder why they can receive nothing! SDRUno has a pretty steep learning curve and a lot of people are not comfortable with it at first. I was like that at first and kept going back to HDSDR, but I decided I really ought to get down to it and now I won’t use anything else.
BTW, you won’t damage your receiver by having the gain up too far, but you might get spurious responses and a high noise level.