Which game were you playing?
I experience the issue with all of my games for Linux:
Dynamite Jack
Dungeons of Dredmor
Waveform
This is an issue with almost any game that's been ported to linux (and many windows games as well), and has nothing to do with steam itself.
Most games grab your input devices, which means they exclusively recieve all key inputs from Xorg, bypassing your Desktop.
While the brightness keys are either handled by hardware itself, or by some acpi subsystem, sound keys (and other multimedia keys) are usually handled by some application on your desktop.
The only solution known to me is to look for acpi-events generated by those keys, and than having some daemon handling sound volumes, which is rather ugly.
Maybe there is some way to prevent specific keys from being grabbed, but I don't know how.
Pro tip: Bringing up the in-game Steam overlay with shift+tab allows all those keys will work since it releases any input grabs the game has
The latest version of SDL 2.0 removes the keyboard grab by default, which should fix this issue.
The authors of each individual game will need to incorporate the fixes into their game though.
Closing old non-Valve issue (can still be found in search).
Nothing extracted yet.
While I'm playing in FULLSCREEN mode Fn Sound Keys don't work (brightness work as expected)
running: ubuntu 12.10 x64, kernel 3.7.1, Radeon HD4750