Currently volume down/up changes volume by 33%. IMHO usefulness of such step is very, very limited, as the result I have to constantly change volume with mouse. Please make it 10% (or even 5%). After all, if you want rapid change, you simply don't release the button. IOW: operating with keyboard should be in some comparable using mouse, currently there is vast difference, too big. With 5% keyboard volume up/down buttons would be useful again.
Before version 4.9.0 xfce4-mixer did not handle keyboard shortcuts so this cannot be a bug in xfce4-mixer, you must be running another application/mixer which handles the keys.