Hooray; a use for my Microsoft source code access: Link to thread. At the time of writing, it seems that the DX runtimes are ignoring the number of mip levels parameter to CreateVolumeTexture(). I couldn't find the source to any D3D functions in the Windows source code, but there is what seems to be the debug runtimes - which is where the error "Width must be power of two for mip-volumes" seems to be coming from.
So, when I get home tonight (I don't have my smart card+reader with me, and I don't think I'm allowed to just carry it around with me anyway) I'll see what conditions cause that message to be shown, and if the D3DPTEXTURECAPS_NONPOW2CONDITIONAL flag is tested.