Having had the EX7 with the audio dj keys on the front, I can speak from experience. The EX7 controls only worked while you had the system off and was listening to CDs. When the system was up and running, the only thing you had was a clock.
On the CX7, however, there is more to the functionality. The buttons work while you are inside windows. If you are listening to a group of MP3s, a CD, etc, you can pause, skip or even stop your music by using the buttons. Very nice and very convenient.
As for the volume control, this is for more than your media player. It works for the total sound control of your system. When you use it, inside a media player or not, an onscreen bar will appear at the bottom of the screen signifying that it is raising or lowering your volume. I use this all the time.
I am not sure what games you play, however, inside GuildWars (full screen, not windows), the volume control continues to work and the onscreen bar will flicker a bit while you are using it. Once you are done, it goes away.
Just to make sure I wasn't given errant information, I tried it again and it worked. I don't normally use the controls in games, and I didn't want to assume.