Arrow keys cannot change volume in the popup
If you click on the panel icon and/or even click on one of the volume sliders in the resulting popup, the arrow keys do not work to change the volume (ideally in 1% increments since using the scroll wheel on hover changes it in 5% increments)
This is something supported in the likes of at least the Cinnamon desktop environment, and it's something even Windows has supported since at least XP (though I think earlier).
Currently you have to instead click "Audio mixer..." (which opens pavucontrol) and subsequently click the listed volume slider - only then are the left and right arrow keys able to work.
Video demonstration
(tested using Xubuntu 25.10 daily build 2025-06-12 with Xfce 4.20.2)
Skip to 1:40 if you don't want to see me set up visual indicators for keyboard and mouse input.