Still doesn’t work. What else can I do?

Volume control by the Siri Remote is done by IR (with a few exceptions*), directly to the audio system (not via the Apple TV box). Learning a new device for the remote gets it to use different IR signals, as that isn’t 100% standardized among brands. IR is unrelated to CEC. Learning a new device doesn’t apply to CEC volume control.

* The Siri Remote can send volume control signals via the Apple TV box for AirPlay and Bluetooth speakers (automatically). The Siri Remote can send volume control signals via the Apple TV box and CEC for supported receivers. Not all receivers support this. Probably no TV supports volume control from another device through CEC. Unsupported options won’t be shown in Settings. The Auto setting would show “via HDMI” when supported for CEC (see image).

What is your audio setup?

Then you wouldn’t have an option for Volume Control via HDMI-CEC. You would have to use the IR receptor on your TV.