I have a Nexus 5 that's currently running the latest Cataclysm ROM based on Marshmallow 6.0.1, but I've experienced this on stock Marshmallow as well. In previous versions of Android, when pressing the physical volume buttons, the phone would make a beep sound to give you a preview of what the new volume level would sound like. This no longer seems to be the case. If you move the volume sliders in Settings > Sounds and Notifications, you get the preview there, but not anywhere else in the OS. Is there a setting somewhere that can bring back the regular volume preview noise?