Why don't I have an on-screen volume indicator?

The "problem" is that those volume indicators are not part of Windows. They're actually added by some of the additional software installed on your machine. Typically they're installed by the keyboard software for keyboards that include volume controls.

Things get a little more complicated with laptops, because they may have dedicated volume control keys, or they may have key-combinations that perform the same function. The manufacturer of the keyboard software may, or may not, elect to include an on-screen display.

It gets even more confusing, because when you purchase the same type of equipment from the same manufacturer, you might expect it to have the same feature set. Two laptops from Gateway, for example, separated by a couple of years, for example. Unfortunately, that's not always the case. Even within models separated by less time, manufacturers are typically always on the look-out for better or less expensive hardware components, and if it doesn't make a substantial difference in functionality, even the same model of machine might come with different, though similar, components from several manufacturers. And needless to say, the supporting software included with those components might be different.

The only real advice I have is to check the control panel applets for both your keyboard and sound card. Look around for options that might control the on-screen display. There are so many different manufacturers that it's possible that some allow you some control, and perhaps default it off.

Past that, I'd check with the manufacturer's support to find out if your specific model even has this feature.