The lock screen controls not showing up is to do with Third-Party AirPlay devices. Your Apple TV has AirPlay and as such Sonos can’t display lock screen controls. 
 

Ensure that you aren’t listening to anything on the iOS device when trying to use the physical buttons, you’ll change the volume of that instead of Sonos, the iOS device will prioritise the playback on itself 

Moderator Note: Bumping topic for responses as it was closed in error. 

I concur with Alex L. I’ve found that iOS has altered the function of the hardware buttons to respect the “top” or most recent app playing on the device, so if I want them to control Sonos, I need to have that app open and the most recent. I’m pretty sure this was a change by Apple, not Sonos.

I just make sure the last app I used is Sonos, and the hardware buttons work. 

I can’t even get the hardware buttons to work even when in the app. As per OP, I have to use the slider to change the volume.

Hmm, I guess I misread your OP.

While I don’t have your iPhone, I don’t have that issue on any of my iOS devices. 
 

Have you tried deleting the app, then downloading a new copy of it, and installing again? If you do so, just be sure to “connect to existing system” when prompted.

The only thing that makes any sense to me is that the controller didn’t initialize properly when you installed it. Fortunately, all of the important info is stored on the speaker level, so you lose nothing by deleting the controller and reinstalling.

Do you have another device that you can install on as well, other than your phone?