You can change the behaviour of the Set Volume button using the Devices... command on the File menu. This enables you choose a different executable.
As you say, by default, the Windows mixer applet is called up. But because the Audiophile does not support this, the button does nothing.
However, although you can pick a different executable, I haven't discovered which one to pick to launch the M_Audio Control Panel. If you do discover this, perhaps you could post it here.