全三編の小説 has nothing to do with "the number of volumes". It can be ANY number; 全一巻の小説, 全二巻の小説, 全三巻の小説, 全四巻の小説, 全五巻の小説, 全六巻の小説, 全七巻の小説,,,,. The followings are all 全三編の小説. (The compositions such like 全三編全二巻 or 全三編全四巻 would be not so common, though.)
an example of 全六巻
指輪物語全三編各編上下巻全六巻 旅の仲間編上下全二巻, 二つの塔編上下全二巻, 王の帰還編上下全二巻
(i.e. six volumes of 旅の仲間編上巻, 旅の仲間編下巻, 二つの塔編上巻, 二つの塔編下巻, 王の帰還編上巻 and 王の帰還編下巻)
an example of 全二巻
指輪物語全三編上下全二巻 上巻旅の仲間編・二つの塔編(Two chapters are in a single volume.), 下巻王の帰還編
an example of 全四巻
指輪物語全三編全四巻 旅の仲間編全一巻、二つの塔編全一巻、王の帰還編上下全二巻
(i.e. four volumes of 旅の仲間編, 二つの塔編, 王の帰還編上巻 and 王の帰還編下巻)
三編に分かれた小説 only means "a single novel split into three chapters/sections".
全三編の小説 has the same meaning as 三編に分かれた小説, but it also can be "three different novels in a book/book series", since 編 is also used as a counter for novel/poem/essay. レオナルド・ダ・ヴィンチ論-全三篇 is the latter one (not 小説 but 評論, though).
三編の小説 is "three different novels". 編 is a counter here.