Are you using the original wall charger that came with the phone or an official HTC cord and adapter?
Any difference if you charge via a computer's USB port rather than a wall outlet?
If I had to guess I would say there is an application conflicting. Any chance you are using the program off the Android Market called Zedge? Possibly some other application that has the privileges to change the volume profile.
Do you play Scramble With Friends?
If it cannot be traced back to an application, then possibly there is some physical problem with the device? I'd carefully try doing your normal charging routine except with the battery door removed - making sure the battery doesn't fall out.
Or maybe the volume down key has an electrical short that presents itself once you plug the phone in and give it a charge.