I think users almost all want independent volume controls for different audio-producing applications; but I think this is something that users, in general, think is just something computers can't do. (In particular, they want to turn down the volume on applications that just "make sounds" and therefore don't bother to include a control and on applications that want to draw the user's attention unwillingly and turn their own volume up)
I also think most users would like to play their alert sounds out the laptop speakers despite having nice speakers plugged in, but assume that's impossible (and I think it is for a lot of hardware; there's only one DAC that gets switched).