Winamp on PC can turn down it's volume, while you could be playing MP3's in media player simutaniously and see no change in volume in media player.
That is what the poster is talking about.
I believe that this is part of the programmers decision on Linux and Windows.
Programs that have their own volume, basically have their own 'buffer' for the sound, and they apply a noise filter to it to lower or increase the volume sent to the system, although the system could be at full blast. Basically controlling how loud the volume is before it's sent to the system.
Not all programmers choose to do this, because that's more code for them, having to code their own buffer, rather than use API straight to the system. Perhaps no linux applications do it because linux programmers are lazier? I don't know. But it is possible in linux.
Q: Is there any way to do that in linux?
A: Yes, if you want to get the source to application you want to do it to, make modifications to it's source code adding such a buffer, and compile it. Please start a website with your mods to the code so others can benfit too, if you decide to do this!