When using the volume media keys to adjust the volume, there is no indicator as to the status of the sound volume, as there is when adjusting screen brightness. LXQt supplies this, but not LXDE.
See Launchpad Bug 1005542: https://bugs.launchpad.net/ubuntu/+source/lubuntu-meta/+bug/1005542
Thank you for a report. This feature is planned for LXPanel version 0.10.0.