Im no biggie on sounds yet, hell, I havent even gone beyond "beep()" yet... BUT

(for EDIT1)I dont think its actually working CORRECTLY, you just got lucky.
Whenever 3DGS loads a SOUND file, it also creates a hidden SOUND structure based
on the sounds filename, with a "_" replacing the "." (ie "beep.wav" becomes beep_wav)
So your new name is just a lucky "match" to that hidden name.
More testing is required. Maybe post the code lines that actually DO the snd_play / snd_loop?

(for EDIT2) I assume you are using snd_play or snd_loop to run the sounds.
Firstly, snd_anything can ONLY play WAV or OGG files. So I suggest to hit the manual,
and read up on MEDIA_play and MEDIA_loop. They CAN handle mp3 files.
You just need to use them a LITTLE differently. (No SOUND objects)

Assuming you use media_something to play your music, you can use this panel code to control your volumes.
hslider(381, 125, 281, volumeslider, 0, 100, master_vol); <<still MASTER volume
hslider(381, 163, 281, volumeslider, 0, 100, sound_vol); <<still SFX volume
hslider(381, 201, 281, volumeslider, 0, 100, midi_vol); <<still MUSIC volume
hslider(381, 238, 281, volumeslider, 0, 100, voices_volume); <<no idea.....