tel19, I don't know where you heard that the Express had output volume control, but wherever you heard it, they were mistaken. No Roku stick or console device has output volume control. I'm guessing those volume control buttons you see on the app are for Roku TVs, Streambars, or possibly Roku devices that are controlling the volume via CEC. The audio level coming out of a Roku device is fixed and has never been something that can be controlled.
Since you mention Plex, I've seen many poorly encoded MP3s that can/will cause clipping when decoded. I use a program called MP3Gain to "fix" them.