For example in XFCE I have numpad minus and numpad plus to control the volume. In Cinnamon I can set them but they never do anything.
What version of Cinnamon are you running? 1.6+ has its own keyboard shortcut setter in Cinnamon Settings- the Gnome Control Center keyboard setting app is broken.
You can indeed set keypad +/- using it, however those keys are generally just going to be captured by whatever app may be running.
Setting them to ctrl-+ or - works though
Using 1.6.4 and yes, in Keyboard shurtcuts the shortcuts do appear as KP_Add and KP_Subtract. But as you say, they are wrongly passed on to applications. In XFCE if I assign them to volume up/down, no other application will get those keys, which makes sense to me.
And since I don't have any other use for those two keys, I also don't want to "re-learn" to something else. Ctrl+KP_Add already zooms in, in the web-browser, so it wouldn't be an alternative anyway.
This already works for me in Cinnamon 2.2. I set Numkey + as volume up and opened a new document to check if it gets typed + or volume increase. Works as desired.
There is some work done now, so can set up to 3 keybindings for this function. Pretty nifty when you have a media keyboard.