PulseAudio provides this feature and actually provides more features and functionality than Windows. Ubuntu's default mixer isn't the greatest so I recommend this instead:

    sudo apt install pavucontrol

You can then find it in the application menu labeled, "PulseAudio Volume Control". It lets you set the volume for individual applications (and with Chrome, individual tabs!) and also pick which output/input device will be used.

It lets you configure some neat tricks. For example, you can setup an audio device that forwards to another computer running PulseAudio, an RTP receiver, and a few other similar protocols then set say, Spotify to output to that device. So if you have some network-enabled audio receiver somewhere in your house/office/whatever you can send audio from your Linux workstation to it.

You can of course also pass that audio through various filters/plugins to mess with the sound before it goes out to the remote receiver. For example, equalize it, noise removal, etc. PulseAudio supports LADSPA plugins so if you wanted to you could setup a little Raspberry Pi audio receiver at your front door and yell at solicitors in a robotic voice from your desktop. All with a bit of PulseAudio configuration fiddling =)