Yup. Trust me. Held my thumb on the little Widows sign on the right side of the screen, then pressed the volume down key. All it does is lower my volume.
UPDATE: I even tried volume up. All it does is raise my volume.
Press the Volume Rocker Down... then press the Capacitive Windows Button until the Screen Dims....
Also it is much easier to take a screen shot by double clicking the top button on the Surface Pro 3 Pen....