Yep - that sounds odd...
Unless you are playing music, or watching video, then you won't be able to chnage the volume for anything but the ringer using the buttons - but the fact that you can't hear it? Hmmmm....
It's probably best to take it into a Genius!
P.S. In the meantime, you can double tap the home button and swipe to the left twice to get to a volume changer temporarily, although this will only cahnge it for music and videos.