There's no reason any program should EVER steal the volume keys' input from the shell (leastways, without an advanced user deliberately setting it to).
The latest builds of XBMC have this irritating internal volume control that's adjusted by the media keys. So that when I fill the bar in XBMC and it's still too quiet, I have to alt-tab out to adjust the system volume. There's probably a place to disable this but I haven't found it yet. (EDIT: Oh right, it's in
a fucking XML file. This is my principal problem with XBMC in a nutshell: the devs are more concerned with constantly re-theming the goddamn thing than with actually letting you configure it from the GUI.)
And the new Sonic CD disables the volume keys, which was really quite an enjoyable thing to discover by accident.
You know how when your speakers start blasting at an intolerable volume there's this kind of panic where you don't immediately know how you're supposed to react? I tried adjusting the volume; no luck. Tried alt-tabbing out and seeing if they keys would work with the desktop up; no luck there. I started fumbling for the volume icon and then decided the obvious thing to do would be to tab back into the game and Alt-F4, and THEN worry about adjusting the system volume before relaunching. (Bears adding that this is in my living room, so I couldn't just reach over and power the speakers off.)
And meanwhile, under KDE I still have that problem where adjusting the volume from the keyboard kicks Youtube out of fullscreen.