iOS 9 Volume Indicator with Smart Cover bug
Just putting this out there for those searching for the same issue...
There is currently a bug in iOS 9 that prevents the on-screen volume indicator from being displayed on-screen when the device is wakened from sleep using the Smart Cover/Smart Case. The volume buttons still do in fact adjust the volume as they should, but there is no on-screen volume indicator that shows the volume and it's adjustment level. The workaround is to sleep the device again, but waken it using the Sleep/Wake switch rather than the Smart Cover...or simply wake the device using the Sleep/Wake switch in the first place. This has been tested on two iPad mini 2's and an iPad Air 2.