Your question just inspired me to find out something new: the menubar volume control works (just about) the same way, which is actually really convenient.
Can you clarify what you mean? On OS X, the menubar volume control doesn't seem to have a similar interaction model. I.e., I can't click/drag to change the volume. I have to click, then click on the little control to move the slider. Is this not what you meant?
Click on the volume bar, then, without releasing the mouse move your mouse up and down, either within or next to the volume scrubber. It'll change the volume.
unable to reproduce on 10.10.3.
HOLY SHIT. You changed my life.
Note: you must drag straight down, if you veer left or right it wont work.