Just out of curiosity, why do you want the volume control on your menu bar? Don't the volume keys work? I only ask because adjusting the volume with the mouse/trackpad on a visual slider is awkward to say the least.
Anyway, if it
will go there but keeps disappearing check these instructions I saved ages ago.
*The setting for
Always is in Menu Bar Options > Sound > Always Show
If you don’t enable this option, the volume icon will pop on the screen only when you are actively using it to turn the volume up or down.
Don’t Reopen Windows After Restart
Some users noticed this issue often occurs when you set your Mac to reopen windows after a restart. If you don’t really need macOS to reopen those windows for you, you can disable the option. Next time you click on Restart or Shut Down, uncheck the option that says “
Reopen windows when logging back in“, and check if the issue persists.
Do let us know if this helped.