Give this a try, from the thread at xda...Volume icon bug:
The new 1.66 ROM's seems to have a bug with volume icon. When installing a new battery icon, the volume icon disappears.
Solution:
Just delete these reg-keys to get volume icon back with custom taskbar:

[HKLM/Software/HTC/VolumeOverlay]
LoadIconFromResDLL
SoundIconLink
[Thx "mnet" for the tip.]Volume icon bug: