I wonder if it has something to do with your language. I know they've had other random UI issues if your language wasn't set to english. Here's my volume setting for reference:
https://i.imgur.com/PwW0SwI.png
It's still frustrating though. I can't just click the volume icon and use the mouse scroller to change the volume. It takes two clicks now.
The wheel does work when just hovering over many sliders, at least on Mac and in Firefox. However, whether that works in any particular app or a site is a gamble.
In some apps and sites with a specific purpose the wheel is often mapped more generally: e.g. to volume control in video players regardless of the position, unless it's over the time slider.
Hmm, where do you need two clicks to change the volume by scrolling? I can just click on the volume icon (or any of the three icons there, since they're all a big button), mouse over the volume slider, and scroll to change it. I think this is essentially the same flow as before.
It's still frustrating though. I can't just click the volume icon and use the mouse scroller to change the volume. It takes two clicks now.