It could be a normal behaviour. I have Zebronics USB speakers with headphone outlet. But the volume of the headphones are not controlled by the speakers' volume slider, instead I have to change the volume from the OS.
It entirely depends on the build of the speakers
- If the volume keys are a part of the bridge between the speaker input and the headphone jack, they will work.
- If not, they will work for just speakers only.
Yours and mine do not have that functionality.