There's two versions of the volume control:
Indicators
This is the default setting in 14.04, but 14.04's version doesn't seem to support this. 15.10 here definitely does. The only closest way is to click then use the wheel on the slider.
Applets
This is the alternate volume control / network tray icon, also available in 14.04 and works with the wheel. This is the default in newer versions.
First, you'll need to change the panel setting in MATE Tweak to "Ubuntu MATE" (System → Preferences → MATE Tweak)
This will destroy your existing panel layout!
MATE Tweak looks slightly different in newer releases.