Took sometimesome time looking around but iI found a program which both lets you set the volume keys to control another Sound device & views aan OSD with the volume when you change it.
Its called Volume2 (https://github.com/irzyxa/Volume2)
You can assign keys for managing the alternate sound device. For example, I set my wireless headphones as default device (for calls) and my earphones as an alternate device (for music). I need to set shortcuts for alternate device and now I have vol up/down for headphones and shift + vol up/down for earphones.
It also lets you customize the OSD Displayed with different skins & colours, and Position & Transparency, it can be installed or be a portable version.
ItsIt's easy to use & it can alota lot of stuff iI don't use but others might want to.