SUMMARY Gnome seems to have such a feature that it only plays sound volume change feedback when audio isn't playing.
This has been proposed in the past, but we decided against it, sorry. We though tit would seem too magical for the feedback to sometimes not play, and for the user to have to figure out the pattern for why and when it was happening. We decided that the 100% predictability of always playing the feedback sound would be best.
Audio volume feedback sound does not play when Do Not Disturb mode is ON. You may middle-click the notifications applet to quickly toggle it, and change volume level silently :)