There are different ways to control volume, LcdWriter emulates key presses it's also possible to set the system volume but it's much more involved.
Since MC shows the volume indicator it's getting the press, I can't speak to why it's not affecting the system volume - that seems like more of an issue with the build than LcdWriter.
If you want, we can try to sort that out - tell me how your system is setup (do you have an AVR, how is the PC connected, etc).