I just tested out the current gnome-mplayer PBI in the AppCafe and it looks like using the mouse wheel to change the volume works fine. I did notice that the mouse cursor needs to be hovering over the sound icon to modify the volume, so maybe that is the issue? They might have updated the program to allow the scroll wheel to simply interact with whatever the mouse cursor is hovering over. For instance, it also tries to move the position slider when hovering over that (though not very well).
~ Ken Moore ~