This problem has nothing to do with the fact your application is a Console application. The message pump is out of the subject here. You can try the same with a Windows app and it will behave the same.

It's because in this case, the player is not hosted as a control (as an OLE control, in a Window) so it's just not supported. If you host it in a Windows app or in Internet Explorer, you will see it works fine.

In this configuration, if you want to control the volume, you should use the volume audio APIs (and specifically ISimpleAudioVolume)