Volume keys are not controlling my volume, help please

Hold down the Fn key and see if the volume F keys work. If they do work then you have to go to the System/Keyboard/Keyboard preference pane and uncheck this checkbox.

Boot into Safe Mode according to Start up your Mac in safe mode - Apple Support and see if the problem persists. Reboot normally and check again.

NOTE: Safe Mode boot can take up to 10 minutes as it's doing the following; 

• Verifies your startup disk and attempts to repair directory issues, if needed

• Loads only required kernel extensions (prevents 3rd party kernel/extensions from loading)

• Prevents Startup Items and Login Items from opening automatically

• Disables user-installed fonts 

• Deletes font caches, kernel cache, and other system cache files

Try the NVRAM reset 2 - 3 times in a row and then check the keys.

Also connect the keyboard with it's charging cable (turning it into a wired keyboard) and see if that makes a difference.

I can't see that you attempted any troubleshooting on your own so please start by resetting the NVRAM per the directions in NVRAM Reset.

Be sure to do the reset serveral times in succession.