The volume doesn't save, and that is correct.
The way this works, is that the volume slider is expected to stay in place, and so I adjust the *range* of the volume slider, so whatever position it's stuck in, I adjust the deadzone closer to the top or the bottom of the volume slider's position.
The reason it doesn't save is because the system reloads the volume slider deadzone values every time you boot the 3DS OS.
I don't know why sound wouldn't work.
Camera sounds (and some bleeps and bloops) bypass some volume adjustments, and play the sound directly, so that's why they aren't affected.