I just bought the new Siri remote and the volume will not work.

Then I would suggest that you do contact Apple Support about that.

Contact Apple for support and service - Apple Support (phone numbers)

or start your support request online and they'll connect you to an expert.

Note that the Siri Remote uses IR for volume control directly to the TV, and needs line-of-sight for that.

If the standard IR volume signals are not understood by the TV, then you can make it learn the needed commands.

Settings﹥Remotes and Devices﹥Volume Control﹥

﹥TV via IR

﹥Learn new device

Try new batteries in TV remote and redo the Learning

Weak batteries generate poor quality IR signals with fluctuating code structuring and frequency. The original remote may still work with your device, but these unreliable IR signals from weak batteries can cause issues when being learned...

Little known fact, generally TVs need IR for Volume + - and Mute, even if they have HDMI CEC. TVs generally don't see themselves as an audio device so they ignore incoming CEC commands for Volume Up Down and Mute.

If that does not work try Volume + - and/or Mute not working on new Siri remote & IR Learning Trouble Shooting.

Apple TV HDMI CEC Trouble Shooting.

You didn’t mention what device you wanted to control the volume for. Please mention your model TV or audio system.