I'm guessing it might be a pixel thing, but the volume slider on Pixel 6s is way nicer than One UI. Also I haven't tried properly yet but the colour of the slider doesn't seem to change with the Android 12 theming either? Mine is always light grey on dark grey (or vice versa on light mode).
The Sound Assistant app on Good Lock used to have the option to change the colour of the slider, so that may come back when the apps are updated for One UI 4, but I think you're right and it should match the colour palette from the wallpaper.
Theme park in good lock has a section to customise the colour of the volume slider, it's not the same as the old option in sound assistant but it's something. As with all theme park sections you can apply it seperately now so you don't have to apply an entire custom theme.