Windows 10, Volume does not change unless audio is playing

I am using a sony bluetooth headset and when I press the buttons on the headset to increase or decrease the volume. It does not change unless there is audio playing on my PC. How can I change it so that it changes the volume even when there is no audio actively playing? It does not have this issue on my android phone. When the audio does change, the floating popup appears: Edit: It also does not have this issue when I use the volume buttons on my keyboard. Only on the bluetooth headset.

Question by John on Super User, licensed CC BY-SA. We show a short excerpt and link to the original thread as credit.