Sorry, that may be an error in the documentation. I am experiencing the same thing you are.

If you’d like your expression pedal to only control the Wet level, you can go to Pedal Settings > MIDI Settings > Assign MIDI CC messages to pedal functions and assign Set Parameter 1 to MIDI CC3. 

This will make it so your expression pedal will always control the mix parameter of whatever algorithm is active. The Wet signal will be controllable via expression pedal and the dry signal will remain unchanged. Let me know if that works.