Same problem, but with some details that might help engineers figure it out. I use AppleTV (4th gen) paired to an amp for outdoor speakers. From my wife's iPhone, works perfectly. From any other device (my iPhone, her Macbook Air, etc.) the volume adjustment is not allowed. The music comes on at an annoyingly loud volume and all we can do is start, stop, ff, select other playlists, etc. The volume slider in the Music app is grayed out, as is the volume slider on the AirPlay selection sheet on my iPhone. As others noted, this was not the case when I set it up. Of course, we've tried resetting the AppleTV and the devices.
While an AppleTV 4th gen paired to an amp is about 50% less than getting a Sonos Amp... in hindsight, I wish I just got the Sonos amp. I'm guessing "it just works". Unsure of Apple's plans here ever since they discontinued the Express.