Why? You have global volume control, music players have it. To me it's the same as asking every website for brightness adjustment bar or font size control.
I've been working on an audio player for my current project and debated whether to include a volume control or not. This led me to realize how different the experience is depending on the OS.
On macOS and mobile, the vast majority of users are used to controlling the volume with hardware buttons. There are many media players that do not include a volume control precisely because of this (eg: Apple's podcast player for the web).
On Windows and Linux, users do not always have hardware volume controls so the majority of users are accustomed to doing that in the media players themselves.
I know where my computer's volume controls are - and if I have a keyboard with volume controls, that's what they work on. I almost never want to touch a specific app's or website's volume control... unless its volume is way too soft even at max system volume.
Basically, I don't need a gazillion interfaces. One suffices. Just don't go out of your way to make that generic, system-wide interface insufficient for your app and it'll be fine.
Suppose you use different apps that output sound. I use audacious, Firefox (Youtube) and mplayer on a regular basis. All these have their own volumes adjusted at different levels. Having a single volume isn't good enough. One app would be too loud and another too quiet. Plus I'm used to being able to change the volume on one app without affecting the others. Not having this control would be annoying.
