The volume indicator is usually a function of the keyboard driver, and appears when you press one of the volume keys (or the mute key) on the keyboard. As you correctly mention, the notification option only affects the icon in the system tray and not the volume level indicator. Sometimes, an seemingly unrelated update can cause this to disappear, even though the keyboard is still able to control the sound level as before. Bizarrely, it can sometimes reappear without having to do anything. Another thing that can happen is that the indicator can become out of sync with the volume status (i.e. show as muted when the sound itself isn't).
I've had this happen myself, but why I am not sure.