In my keyboard there are F5-F12 which have multi-media function when click them with Fn key together.
I tried the volume control in windows, it works just fine. I wonder how does the keyboard wire the signal to the OS?
By the way, there are Fn key for play/pause/prev/next and it even work with my foobar2000 mp3 player software. I am thinking it is not software level trick.
Function keys are usually dependent on having the proper driver installed for the keyboard.
The default drivers from Windows Update sometimes work fine, with all the function keys working. Other times, it will only leave some of the features working (like in your case, only the volume feature).
I would suggest downloading the manufacturer's driver. Many times they have software to go with it for customization of hotkeys.
As for individual software programs, some don't support hotkey buttons at all. This can vary and completely depends on the developer, though many nowadays support multimedia keyboards.