Effectively, it seems your knob isn't firing any keyboard code. slimKEYS depends on those, as it is primarily a keyboard hotkey handler. But I'm planing a remake of slimVOLUME to support Vista (which requires a completely different approach to volume level handling). It may (I repeat, "may") turn out slimVOLUME won't require a hotkey anymore to display the volume level, even on XP.
As for my comparison with my Dell 6400, I was confused. I thought the Dell SK-8135 was a laptop! q;-) On my desktop, I have a Dell keyboard too, but I don't know the model, and there is no apparent special driver. It uses the MS 101/102-Key driver.
In the meantime, if your knob isn't changing the volume, and are not only looking for the volume display, but also the volume change, you can use keys like "Win-PageDown" and "Win-PageUp" (for example). It's not perfect, but it can help.