Ok, so I've tested this on several keyboard and the results are consistent.
When you're on Spotify desktop (I use it on Windows 7 myself), you have to click off the program before you can use volume controls on your keyboard. This seems very strange?
In all other media players (Windows Media Player, iTunes, etc.) keyboard volume controls work whilst using the programs; but currently it doesn't on Spotify.
This would be a great addition. There are times when the volume is turned up insanely loud on your computer and you need to turn it down fast, having to click off Spotify just to do this seems unnecessary.
*On top of that. Your spell correct feature on these forums doesn't know of the word 'Spotify'... really! 😛 I suggest you add it. 🙂