If the focused app does not have a volume control you can pick your desired behavior

• Previous App - the focused app will be the last app that had a volume control
• System Sounds - switch to control system sounds. For example, if you're using an app that makes a windows "error" sound, its volume is controlled by system sounds. So you can adjust the error sound without impacting other apps
• Main System Volume - switch to the main volume control for the system. This will change the volume of all apps