I may be misremembering, but I have a feeling the per-app volume mixer was available all the way back in Windows XP. Possibly sound-card dependent?
An app called Jack OS X does the job on Mac: http://www.jackosx.com/
An app called Jack OS X does the job on Mac: http://www.jackosx.com/
That panel on XP (and before) only permitted per-device volume control.
For reference see [1] at around 04:00 and Larry Osterman's posts from September and December 2005 [2][3].
[1]: http://channel9.msdn.com/Blogs/scobleizer/Steve-Ball-Learnin...
[2]: http://blogs.msdn.com/b/larryosterman/archive/2005/09/19/471...
[3]: http://blogs.msdn.com/b/larryosterman/archive/2005/12/15/504...
It's also a complete pain in the arse to get running on Linux, due to the ALSA+Pulse stack being in the way.
JACK is pretty complex, but infinitely useful; one of those things I end up installing long before I decide I actually need it.