One situation where audio players on mobile devices would need volume controls in software is if any hardware controls are not linked. For instance, some headphones come with an independent volume control, generally a thumb wheel or dial, which controls the volume of the sound coming out of the speakers, but does not affect the volume of the device itself. Due to technical limitations, this does not send any signal to the software to tell it what to set the volume slider to, and so it is unlinked. Likewise, adjusting the volume on the device via a slider cannot physically turn the thumb wheel, providing a technical reason why they are not linked.
The same would occur if your device is intended to be hooked up to external speakers or a TV. Again, this is due to technical limitations. One problem that is created however is that your device volume and your headphone volume may not be the same; you may have your volume for one at full and not hear anything because the other is muted, providing confusion to the user (or a momentary burst of loud noise).
Many mobile devices, such as the iPhone, do in fact have linked hardware volume buttons and software volume sliders in which pressing the down volume hardware button also makes the slider go down by some fixed amount. Some headphones, notably the stock iPhone earbuds, work the same way, having buttons that send a signal to the software and do not have a physical component that would need moving, eliminating the technical limitations. This solves the issue of not hearing anything despite one volume control being at full volume and eliminating one of the reasons why software audio players might require volume controls. However, this may not always be possible since both the device and the headphones would need to support this.