OMG! Hold the phone. Quite by accident, I seem to have found a way to control system volume, making the in-line physical volume control UNnecessary!
Try this...
Start > Programs > Voice Recorder
I'm running the stock Sprint WinMo v6.1, but Voice Recorder is in lots of other ROMs too. Also, since I use a number of players, they are all set to NOT control system volume (that way I can have one level for one player, different level for another).
Had this phone since the day it came out (Nov 4, 2007). Can't believe it took almost 2 years to discover a separate overall system volume control. It's like the desktop volume control for XP (in system tray area, down near the clock).