I am listening to audio with headphones attached to my Lenovo Thinkpad docking station. The output device is "ThinkPad OneLink Plus...". However the volume control, both the keyboard volume keys and volume button on the indicator panel, work only on the "Built-in Audio" (presumably the computer itself) and does not have any effect on the volume. Is there a way to change this, perhaps setting the other one as the default? (xUbuntu 16.04)
My guess is the green checkmark button selects the default device. I've admittedly not used xUbuntu 16.04 though so if that is the case, hat tip to the UI designer.
If your changes are not being saved, it looks like maybe it's because a user config is overriding the system config. This question about setting the HDMI output of a laptop can probably serve as a good model configuration for you to tweak for your purposes and mentions at the very bottom that they had to copy /etc/pulse to ~/.config/pulse. Alternatively, I suspect you could remove or rename ~/.config/pulse and it would use the system config. If you test this, I would suggest renaming it or moving it to a different location so you can restore it if necessary. I'm also unsure which one the control widget would be editing, but I would think it's the user config, ~/.config/pulse.
The similar sounding questions I'm basing my answer on are https://askubuntu.com/questions/772563/16-04-switches-from-default-audio-device-when-not-available-but-doesnt-switch which references https://unix.stackexchange.com/questions/293399/how-to-set-hdmi-sound-output-as-default-on-ubuntu-16-04 as its solution.
pacmdorpactrl, and intercept media keys in the window manager. That's how I do it withfvwm; no idea what desktop/window manager xUbuntu uses.