That setting name is actually Mouse–Wheel over the Player Adjusts Volume (i.e., it's not specific to video)
JRiver should modify the text to say Player Bar instead of Player for clarity. That is because this setting does not enable the mouse to adjust volume over the entire player window, but rather just over the Player Bar (including over the transport controls, volume slider, search bar etc.). That said, be careful not to scroll over the track progress bar, as that will Rew/FF the playing track/video - unless you have the setting for Disable Skipping Track with Mouse Wheel activated (setting located in the same general place as the mouse volume adjustment setting).
To mouse wheel adjust volume over the hidden Player Bar while playing video fullscreen, first move your mouse to the screen's top edge to pop it up, and then scroll to adjust the volume.
