I opened Midi_Ox to see the messages.
It required me to close Sonar 3 (which is the app I am using, which demonstrates the odd behavior).
At first, it was doing the same thing--but then it changed state and I was able to control the volume.
I closed MIDI-OX and opened Sonar, and it again did not work properly.
So the issue is not with the controller, and so is not your problem.
Thanks for your investigation, wonder what I will do?