complete set; all volumes
Refers to the entire collection of volumes in a series, often used when buying, owning, or reading the whole set.
He read the complete set of that manga series.
It took three years to collect all the volumes of this manga.
It's a good deal if you buy the complete set.
whole volume; entire film
Used for a single volume, film, or reel in its entirety, often in contexts like reading or watching from start to finish.
Last night I watched the whole film in one go.
This dictionary has about 2000 pages in the whole volume.
I finally collected the complete set of that series I had wanted for so long.
I bought the whole set during the sale.
She watched the entire film in one sitting.
全巻 specifically means all the volumes of a multi-volume set, while 全編 refers to the entire single work regardless of how many volumes it has.
Compound of 全 (zen, 'all, whole') and 巻 (kan, 'volume, reel'). The meaning follows directly from the kanji.