When you hook up an HDMI TV or DisplayPort monitor with built-in audio device, you might discover that you can't change the volume with the Mac software mixer any more. Volume buttons on your keyboard won't work. You're expected to use the TV remote or volume control on the device.
Here's a trick to get around this limitation. Grab Soundflower and switch the output to your HDMI or DisplayPort device as shown here:
Then option-click the speaker icon in the menu bar. Switch your Mac audio output device to Soundflower:
Here, 34UM95 is the display with audio device that won't let me adjust volume.