First, let me just say that it never even occurred to me that my iPhone volume would control the TV so I just never even tried it. I would have expected volume buttons to appear in the remote app.

That said, I just tried it and it does not seem to work for me in my setup. I just have a Samsung TV with the Apple TV connected. No other "AV system". The volume buttons do not seem to do anything with the TV. Now that I know it works in some situations I will start digging around.

The Apple TV remote controls the volume of the TV fine but I seem to recall that I programmed it for the power and volume of my TV when I set it up.