My previous bug report was answered today, w00t! Here is what they had to say about it:

04-Nov-2005 02:55 PM Jeff Lemas:
Engineering has determined this issue behaves as intended based on the following information:

Please know that the volume is not universal. It is per movie volume and is saved in the movie’s user data.

First of all, they are wrong, there is NO saved state to any movie or audio file, set the volume to 0, close it, open it again, it’s back to 100%.

As for it being intended behavior, WTF! So, if I get in my car, and the stereo reverts back to 100% volume, this is acceptable, and can be passed off as intended behavior? Apple, seriously, this is insanely simple to fix, your engineering department is making themselves look stupid.