Interesting to read about the button tones. I have something to add to this though. Even I have been using few Nokia phones and initially I was getting the same weird problem with SetVolume() on 6630, but it works fine perfectly on 6620. I've built the app against Symbian 6.1 /v1.2 SDK.
I finally figured out the problem. In this case the problem wasn't with the "SetVolume" function per se. Rather this reason is due to a quirk of the Nokia 6680.
All Nokia phones allow you to have some sort of sound or tone play when you push a button. For some reason, with the 6680, when you push a button and the tone plays, this sound playback can interfere with the audio device on the phone, and cause a Symbian program that's using the audio device at the time to receive an abort code.
To resolve this, I turned off the button tones so that a user could push buttons to change the volume of the audio playback without any problems. You can also set the phone to use the "Silent" profile, which automatically includes turning off the button tones. I have dealt with more than a few Nokia Symbian phones, and this is the first time I've actually encountered this issue. If anyone knows of any other phones which also suffer from this, feel free to post and let everyone know.
I definitely will have to try disabling the button tones. Currently am away from my development environment, but will do so as soon as I get a chance.