There's a known quirk with macOS that if you set an output in Audio MIDI Setup to use a Multi-Output, you lose control of the dedicated volume buttons [on the F-Keys].

Is there an app that can override this limitation?

This would normally be achievable with Applescript & an Automator Service, but not if Multi-Output is selected.
You can't even change it from the optional Volume/Output Menu item. Volume is greyed out. Selecting anything except Multi-Output returns control. It doesn't matter which devices are selected in the Multi-Output itself, this is a limitation of the Multi-Output itself.

Free/paid, macOS [of course]