Yes, the OS X' volume indicator does come up as the volume changes. Actually, I think the problem has solved itself. I found that the problem occurs when I initiate Remote Buddy after having already opened an application from the desktop and then halfway through using it switch over to using Remote Buddy. I have found that if I initiate Remote Buddy without any applications open and open them through the remote menu everything is fine and dandy. It may not even be all applications but only one or two of them or maybe some odd combination of them I occasionally use. Make sense?

Anyway, that's what works for me. So I'm happy!