Thinking about this for a minute, the problem could be related to new undecorated windows. The same problem appears when Steam achievements get unlocked and the small notification is shown in the lower right corner.
Is this something that needs to be fixed at the window manager level? If so, what needs to be changed?
You're right, it's the same kind problem, although different instances of it. The Steam notification problem stealing focus is a bug in steam, and is fixed in the next update (early next week). The +/- hotkey volume window stealing focus is being caused by the code / app that handles those hotkeys, and is not steam related.
Nothing extracted yet.
When playing a game and pressing volume +/- hotkeys (special keys on my keyboard for example) assigned in GNOME, the game minimizes. It can be brought back using alt-tab.