it controls the analogue audio output only. If you connect via RCA jacks to any device you'll find the volume will work
It's the same on Beyonwiz and Topfield (or at least the TRF7000, I'm not certain about the rest). Most audio source devices don't even allow you to control that much. As I posted earlier, does your DVD player have a volume control?
I guess that having the volume control like this is so that on the simplest connection setups (PVR & TV only, analog video & audio) you only need the PVR remote for watching TV or recordings via the PVR once the TV input has been set. But we got by without volume controls on DVD players, component CD players, tuners, turntables, etc, so I'm not sure why manufacturers insist on putting volume controls on PVR remotes. Volume control belongs on your audio
output device. So does mute, too, but unfortunately I don't have that on the old AM/FM receiver we use as our amplifier, so I'm glad to have it on the PVR remote.