It may be a winamp lack... I've noticed that if it is stopped, a volume level change doesn't have effect in the windows mixer.
So, the code below doesn't be able to restore the volume level when exiting from RR
Now I don't know if this happens always or it's just with some sound cards, however I've found that the problem can be solved setting the option "Reset to original value on stop" in winamp.
SendMessage hWndWinAMP, WM_COMMAND, WA_STOP, 0
WinAMP_SetVolume WV <--- This doesn't work as expected
I hope this would be helpful.