Broken: 2.79 aa844ad676d (2018-09-12)
The volume passes can sometimes not be saved when "Save Buffers" is enabled.
Exact steps for others to reproduce the error
Open the provided blend file and render it. This should create four OpenEXR files due to how it is set up in the node editor. All files are created, except for the volume passes.
If you disable "Save Buffers", the volume files are stored too.
I tried to reproduce this from scratch, but was not able to do so! I took a file where the issue occurred and removed all the assets from it.