Same problem here. I have Pioneer VSX-821-K receiver and Siri remote volume buttons don't work with it. I tried all the options ('auto', 'receiver with IR', manually teaching volume buttons from original receiver remote).
There are many reports of volume buttons not working with pioneer receivers. Some of them report it occasionally work. In my case it never worked. Looks like some issue related to some key-repeat issues. I hope Apple can fix it software.
This is the main annoyance with ATV 4 so far for me. ATV 4 works with universal remote, but some of the functionality is not available without Siri remote (and Siri remote is pretty nice to use).