I have had no luck changing the volume while using a stereo bluetooth headset. The ones that I have tried so far are a Motorola S9, Nokia BH-214 and Jabra-BT3030.
The other problem - with any stereo bluetooth headset I've tried - is choppy audio. Even outside of wi-fi use, it sometimes drops for a second and then the music continues playing. I've never had this problem with my Blackberry Bold or Nokia N82.
Another problem I've had is the connection is sometimes awful and the music played does not sound right at all.