You can say either.
Make this adjustment in Settings.
Make this adjustment in the settings of the phone.
Make this adjustment in the phone settings.
You can adjust the volume setting.
"Settings" is a label for that aspect or section of the phone's configuration, and no article is needed when referring to something by its label.
Coffee machines are found in aisle 3 in Appliances.
But when referring to the settings themselves, it is a normal noun, and requires an article like other count-nouns.
P.S. With respect to the preposition, you can say
... in the settings
... to the settings
P.P.S. And although "settings of the software" or "settings of the phone" are perfectly grammatical, it is more typical to use a noun adjunct there, at least in documentation or instructions:
... in the software settings
... in the phone settings