I just got the 4.0.4 OTA this evening and tested to see if the phone would wake up by pressing the volume rocker after seeing this thread. It does turn the screen on when I press the volume down button and shows me the slide to unlock screen. If I wait a little while after locking the screen then press the volume down button it does not turn the screen on.
I think 4.0.2 allowed me to set the "Automatically lock" setting with slide to unlock and a length of time to wait before locking the device. I set it to 30 seconds when I was on 4.0.2. If the screen turns off from inactivity I could turn it back on without the need to slide unlock or enter pattern. Taking a look at the settings now it appears that the "Automatically lock" is not available for slide unlock in 4.0.4. I swear it was available in 4.0.2 but I have no easy way of checking that now.
Try the following and let us know if this works for you. It seems to have stopped the volume down wake for me. Go into your security settings and set a pattern lock. Set "Automatically lock" to "Immediately after sleep". Then set slide to unlock again, assuming that was what you used in the first place. Lock the screen and wait 1 second before trying volume down so the phone as a moment to lock.
Edit: I am getting strange results when I have the clock app open and then lock the screen. Pressing volume down wakes the screen. If am at the homescreen it does not wake the screen. I also tried with chrome and google music (paused) open when locking the screen. It did not wake with eitheir of those apps open. I turned on the screen lock sound so I could hear if the phone is locking. It does make a sound when I lock with the clock app open but it sound more like static than the locking sound.