Apple take point of view that if the audio interface is a digital connection, e.g. TOS-Link, HDMI, or Displayport then being digital one should try and not do anything that would cause any changes to that digital stream so that it arrives in a pure pristine unaltered form on the final output device. For those unaware to change the volume one has to change the amplitude of the analogue waveform (sound is an analogue waveform) which if the signal is digital means it has to be first converted to analogue, then have the analogue wave modified, then convert it back to digital. Any time a conversion or alteration takes place there is a small unavoidable loss of quality. Apple therefore intend that either your TV or your AV Receiver or other final output device i.e. the device which does the final conversion from digital back to analogue is responsible for the volume control. This means that the conversion process only has to happen once for example the TV converts it to analogue, lets you alter the volume while it is analogue and the plays it via its speakers again while it is analogue, there is no digital --> analogue --> analogue repeated conversion.
As such normally the volume menu in the menubar will be greyed out and the keyboard controls ineffective if the audio connection is digital. I have found that for example the Sound preference pane allows you to alter the 'beep' volume level but does not let you alter the overall system volume which is what applies to other programs.
It sounds like Windows will default to allowing all volumes to be altered even if a digital connection is in use but this means the original signal is being changed by Windows as described above. In fact with the Windows approach the digital --> analogue conversion is worse than you think as below
Sound needs to have volume altered
Sound is converted from digital to analogue on computer
Sound has its amplitude changed
Sound is converted back to digital on computer
Sounds is sent to TV
TV converts sound to analogue
TV plays back sound
This compares to the Apple approach
Sound needs to have volume altered
Sound is sent as unaltered digital to TV
TV converts sound to analogue
TV is used to alter volume/amplitude
TV plays back sound
So with Windows it has had to be converted between analogue and digital twice. It can even be worse than that, if the sound is being generated by the computer rather than being played from an existing digital audio file, then another set of analogue/digital conversions may also have to take place. Even if one ignores the very small quality loss this all entails it also causes a small amount of 'latency' as well with each step.
So, I can see some merits from Apple's approach and I can also see some merits from the Windows approach.
The ideal solution would be for Apple and others to support a standard called CEC - Consumer Electronics Control. This is a way for a device - in this case the computer to send a control signal down the HDMI cable telling the device at the other end e.g. the TV or AV Receiver to alter the volume, this would allow the Mac keyboard volume controls to trigger a signal to the TV to alter the volume. With this approach all the additional analogue/digital conversions are avoided but the user still gets the same effective control via the keyboard etc. on the Mac. Unfortunately CEC requires hardware level support and no Macs currently support CEC. I have suggested this as a future change to Apple and the more other people make the same request the more likely it is to happen.
There is a third-party accessory that can 'insert' CEC commands but most software will not support it. Have a look at https://www.pulse-eight.com/p/104/usb-hdmi-cec-adapter this does work with the Kodi software even on a Mac. (Kodi was formerly known as XBMC.)
PS. The reason why an approach like using SoundFlower might work is that SoundFlower is effectively 'virtualising' the sound output connection and as a result the Mac no longer counts it as a standard digital interface like HDMI etc. Effectively using SoundFlower makes the Mac use the same approach as Windows as described above.
