Are you sure the volume rocker isn't being pressed along with the power button? Since I know that when the power button gets long-pressed and brings up the Phone options menu you can adjust the volume.My volum rocker doesnt work w/o the phone being awake. But mine will work if awake but on the lock screen, although it doesnt show the volume being turned up or down it just does it.
If you have the screen without unlock the volume rocker turn on the phone. If set to require unlock the rockers do not wake the phone.