Alas, such is life in wikiworld, Bry. It's not a bug, by the way. It's a "feature", as they say. The cure, as you'll be pleased to hear, is almost as simple as the player itself *and* the people that use it. The most obvious solution, of course, is to simply not move your mouse off the volume icon after adjustment because, if you do, it goes away.
"Sure", you're thinking, "but I can't hold the mouse still because I need to use it for other stuff". Fair point, Bry, but don't shoot the messenger. If you don't want to take my well-meant advice then you'll just have to go somewhere else. I really don't know why I bother.
"But my wrist will get sore", you could say. Yes, you could, and again it's a fair point. Glue, Bry. Just glue that badboy to your mousepad when you've got the cursor right where you want it. To make really sure, glue the mousepad to the desk just in case.
Should you accidentally "glue" the volume too loud or quiet, then simply move your chair closer, or farther away from your speakers to a point at which you can listen in comfort.