Nice, but I can't believe they reworked the Apple TV remote layout, but still didn't put in volume controls. If I want to change the volume on my TV, I can use the physical remote, but not the one on my phone? Not cool.
I'm pretty sure this is because the physical Apple TV Siri Remote has an infrared emitter to directly talk to the TV to change the volume, whereas your iPhone does not have such an emitter, therefore it cannot change the volume. All the other functions of the physical remote use Bluetooth to interact with the TV, and thus the phone can replicate those functions.
Try covering the infrared emitter on the physical remote and see if it changes the volume. It won’t be able to.
I could be wrong though.