Today I updated to unstable GNOME and got a dialog telling me that some applets had been removed from my panel. Indeed I no longer had volume control.
It was replaced by gnome-volume-control-applet, which was running but did not display the icon.
The reason is ** (gnome-volume-control-applet:12914): WARNING **: Connection failed, which means in an obvious way that I don't have pulseaudio running.
This new gnome-volume-control only knows about pulseaudio, so if you don't want to have pulseaudio running, just stop changing volume or change desktop.