I can't think of anything in programming that would prevent one specific phone from being able to save volume settings. Maybe someone else will be able to confirm this.

I guess I would suggest first checking the obvious: try a different phone on that extension, try a phone on that extension right at the backboard.

If you're concerned enough to do something a little more extreme, you could try backing up COS and sdial programming, and then master clear the system. Then try the volume save in a master cleared state. If it works, then try restoring the database and see whether the problem is gone or still there.