Yep, I agree with all of you. As stated, this really isn't a big issue. And the obvious way to fix the volume controls would definately be not to shell the FE.
My question however, was if it COULD be done. And the answer to that is probably plain and simple "no, forget it, it can't be done".
I'm using the classic Windows 9x theme, auto-hide taskbar and set all colours to black, but the start button and the systray is still visible at boot time. This options also causes me trouble when I have to make system changes, because everything is black...
I have tried various "taskbar-hiding" apps, and one of them actually does the trick pretty well, without having to black everything.
I'm also aware of the fact that Windows boots faster when shelling the FE because not all elements are loaded, and that is one of the main reasons I wanted to shell Mala in the first place. I also understand that this of course can bring with it challenges in unexpected directions, but when that ##@$ volume control is the only thing not working for me, I was really hoping there was a way to solve it.
But this obviously doesn't have an easy fix.
So my options are:
1. Shell Mala and use the volume control on the amp.
2. Not Shell Mala and accept the slightly slower boot and the possibility of the taskbar not being 100% gone.
None of these options will bring the end of the world to me, so I'm happy and I think I can settle with this.

Thanks guys!