This is possibly ‘by design’, so as a quick test, if you begin playing any audio to the Ray first of all and then try raising and lowering the volume - hopefully it should then work.

Edit: In fact ‘correction’ … it should just lower the volume level, but not raise it, if there is no audio playing from the speaker. Anyhow see my next post.

If no joy with the test suggested above, then try setting up a different TV remote (if you have another you can perhaps try) and see what happens in that case - then go back to setting up the original (correct) TV remote and see if that resolves the issue.. Note: only test things though whilst actually playing some audio to the Ray.