I've just done some testing with the web interface open.
I started my Pirate Radio, the volume was at 50%. I reduced it to 15% (which is a good level for listening in my small quiet radio shack) using the volume control on the web interface and then shut down using the button on the top.
When I restarted, it was back to 50% so I reduced the volume using the buttons on the unit itself, shut it down using the button on the top and restarted. Volume was back to 50%.
This was a new Raspbian build, I installed using the curl command and then yesterday did an update using config.sh