You, like me, probably set the sound theme to 'none' to get rid of all these annoying startup/error/whatever noises.
In that case, you are right: No sound is played when you set the volume. Probably (I couldn't be bothered to test it) you usually hear one of the sound theme entries, at the new volume.
Strange, I love Yoshi's Island and have beat it many times and have never noticed a problem (at least, haven't noticed it to the point that I would remember it. If it was unplayable, I would've noticed). I'll have to load it up again sometime and see if I see a problem.
Years ago, earlier versions of zsnes did not exhibit this bug. However it used to simply fail to render lots of stuff. What was left behind would still look fine, so you wouldn't notice. Think parallax background layers, sprite effects.
Windows actually doesn't.