Explain the issue
I haven't got a clue how this happened. I have a problem where the Commands information in CCSM is forgotten after rebooting, but that seems unrelated to what you have (I can fix this by setting the shortcuts through the Keyboard menu, what you refer to as "global Gnome keyboard configuration"). As stated in my comment, what you're trying to do works perfectly well on my system.
The problem can be in the Keyboard shortcuts settings (the one that sets the command) or in the specific multimedia commands (the command that is executed). In this workaround I'll explain how to do both at the same time. The programme that sets the shortcuts doesn't know the actual shortcut to change the multimedia stuff and neither do I, so this will be the easier solution.
You could set the shortcuts in another way.
For this I know one way, you can try the Commands plugin in CompizConfig Settings Manager, CCSM. If memory serves me right, this plugin works well for 12.04. CCSM is in the repositories, so simply install it from the Software Centre. If you don't know it, be careful with this tool. It is an awesome little programme but it is very easy to mess up your system. There are other ways, possibly through
gconf-editor, Google around a bit for that if you're interested.
In the alternative keyboard shortcuts manager you can enter a command to change the volume. I do not know which nifty command is used in Unity to show the notification with the current volume, so we'll have to stick with something old-fashioned:
I found a command to increase the volume with
amixer at http://unix.stackexchange.com/questions/21089/how-to-use-command-line-to-change-volume:
amixer set Master 10%+
amixer set Master 10%-
If you bind these in the Commands plugin and assign a shortcut key you should be good to go.
Don't forget to enable the plugin on the left hand side if you haven't already. Let me know if this solves your issue or if something is unclear.
Edit: if you struggle with this problem as well, be sure to look at the OP's comment below, it might point you in the right direction