Audio control

I'm not sure what catagory this belongs too, but neither XFCE4, KDE nor Gnome Mate/cinamon understand what my media keys do.

If I use them, the little pop up shows that the volume is turning up/down or muting as expected but it seems to be controlling the wrong thing since it doesn't actually change the volume at all.

This works perfectly in gnome-shell, however.

How can I associate the media keys with the right audio device?

thanks