I see what you're saying now. The bug is that none of the sound levels are saved except for Master Volume.
I just tested the different sound level sliders and can confirm that changes Master Volume are saved so that the slider's position remains where you left it the last time you clicked the Close button. Changes to Voice-chat Volume, Interface and Notifications Volume, In-game Effects Volume, and Music / Player Volume are always reverted to the maximum level no matter how many times you try to change it.
The only option left is to either reduce the Master Volume (and therefore all game audio) or reduce your speaker/headphone/Windows volume (and therefore reduce all PC audio).