I watch live TV on the Xbox One. Through the HDMI connection the Xbox One:
1. Turns the TV on and off.
2. Changes the live TV channels on the Tivo.
3. Controls the volume on the TV.
I use a Xbox One remote control to control everything. When watching TV via the Xbox One I can control the volume on the TV using the Xbox One remote control. Controlling the TV volume does not work when running Plex, that seems to be a bug.
Is the TV app, still active, when plex is running, maybe thats taken control, like you say a bug. Try quitting the both apps, and just opening plex and see if that works.
If I try and use the SmartGlass app to turn the volume up/down it doesn't work at all. Muting does work from SmartGlass so I know the communication part is good.
Saying "Xbox Volume Up" does nothing as well.
In the TV app or a game Smart-glass will turn the volume up/down by 1, per press, and "Xbox Volume Up/Down" increments by 5.