Ubuntu 14.04 / Windows 7 - 64bits
Short description of error
The Z depth and normal passes of a Cycles volume material displays only the domain of the volume instead of the volume shape (density).
I know this is not possible to get the real depth of a volume unless deep image are supported but at least it would be possible to get something closer to the volume shape. For example : a Z depth with non transparent values, only the first "hit" that the camera see.
This is not correct but something like that : http://img11.hostingpics.net/pics/378248depthnotransparency.png
Exact steps for others to reproduce the error
Just create any volume material and activate the Z passes