Volume keys are not controlling my volume, help please

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.

Be sure to do the reset serveral times in succession.

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.

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.