Did you observe that there are 2 TABs at "Key definitions & WinLIRC",
i.e. "Windowed mode" and "Full screen mode". You can define 2 different keys for either mode. (So for every function you can assign 2 different "keys" for windowed mode
and 2 for full screen mode.) In fact the default settings for Volume Up/Down in "Full screen mode" are (i.a.) MouseWheel Up/Down.
Please check your settings/definitions.