Hello and welcome! The reason it's different is because Ubuntu MATE ships with the indicator version, whereas you may have previously used the traditional applet. See a comparison here:
As a temporary "workaround", you can scroll over the volume icon without opening the menu - which will change the volume in the direction as expected.
It's a bug which has been already reported. If you have Launchpad, mark yourself as "This affects me too":
The alternate is to swap the applet version for the indicator, which I'm not too sure on how to do. Another alternate is to replace the volume applet with pnmixer, which I haven't tried: