The KDE desktop environment definitely plays a sound when you change the volume. I use my Logitech G Pro X wireless headset on Linux and Windows and just change the volume using the dial on the unit and it behaves the same way in both OS.

Though, to be fair, I do share some of the frustrations you mention. I'm mostly on Apple products apart from my two desktop PCs (one is Linux/Windows dual-boot, one is Linux only) which I own solely for gaming purposes and some hobbyist programming. I usually try to get non-Linux native applications running but if it proves to be too much of a hassle I simply boot into Windows or use my MacBook. I like to treat Linux as somewhat of a hobby and I totally understand that most people would rather have something that "just works", especially when it comes to proprietary creative applications like the Adobe suite or DAWs. That being said, it's extremely exciting to see the massive strides Linux on the desktop has made in the last couple of years. It has come a looooong way, honestly; especially for gaming. And I always support open-source projects/foundations - I'm donating to KDE/Arch/Wikipedia on a monthly basis - because I believe in the core values and advantages of FOSS and other community-driven foundations even though I'm far from a Richard Stallman.