You don't use WinMo 6.5.x ROM, do you?
I had similar problem with Bilbobrian's taskbar. I discovered that the file HTCVolumeControl.dll used in the taskbar's installation cab was not compatible with the version of the system.
What I did was uninstalling of the taskbar (the volume keys started to work again), copied the file HTCVolumeControl.dll from \Windows\ to storage card, then installed the taskbar again and then finally I copied the HTCVolumeControl.dll from the storage card to \Windows\ overwriting the file that was delivered with the taskbar. Now everything works fine.
There are 3 icons in HTCVolumeControl.dll (Ringer, Vibrate and Silent) but I've discovered that the newer SYS versions dont use these anymore. There are also copy of them in phcanoverBmp.dll, and this is the one current systems use. So in most cases it's safe to leave the original Volume control dll instead of installing the one that is delivered with the taskbar.