Generally speaking, audio output devices with their own volume control can't have their volume regulated by OS X.
In some schools, teachers connect their Macs to projectors. On some models, the projector has its own volume control and you can't modify the volume using the volume keys on your Mac. If you try to do so, an icon similar to what you have posted appears. You have to use the volume control on the projector's remote.
The same is happening here. Your speakers have their own volume control. Therefore, OS X can't control it.
In some other cases, OS X will allow you to "change" the volume, but this change is only apparent on your Mac. For example, in some TVs with HDMI ports, you can change the volume using the volume keys when using it as an external display, but the sound output will be of the same loudness. You have to use the TV remote to change the volume.
You can confirm this by going to > System Preferences > Sound. The output tab will say "this device has no output controls" and you can't modify the volume.