Yeah, in IM aps I like having no notification whatsoever. I'll check for messages manually when I want to. But that's totally subjective.
The scenario that would bother me is this. It's nighttime, people are asleep, so I want my computer quiet. I turn down my sound and everything is quiet. It's daytime, I'm alone, I want to hear it from the other room, so I turn the volume up, and everything is loud.
If the sound volume was relative to the master volume, then this might be handy. Otherwise, it would be annoying re-adjusting the volume for every open program. Although I don't generally count on Microsoft getting things right on their first try, can anybody confirm/deny that this is the way it works?