The solution how to make it working has been found after going through all menus in e17. Therefore the initial configuration of e17 in Jessie is wrong, but it isn't bug in e17 itself.
Way to fix the issue: Right click to speaker icon in bottom panel. Select Mixer. Select Settings. Activate checkbox named "Show popup on volume change via keybindings". Note, that the popup was visible before too, so the name of the checkbox is misleading.
