This is a big drawback to HTC Sense. I don't recall my old Droid X having this problem, but with an HTC Sense phone, you can only modify the volume of the earpiece, bluetooth, or media volume if you are currently using that feature.
For example, you can only lower the bluetooth volume when you are using bluetooth for sound.
You might try going to Settings, then Sound, and Volume. In the box that pops up, you can modify Ringtone volume, Media volume, and Alarm volume. You can also modify Notifications volume or set notifications to be the same volume level as Ringtone volume (which I always do). Unfortunately, that wouldn't solve your Bluetooth sound problem.
Just to be clear, there is no solution, unless you are willing to ditch HTC Sense for a custom ROM that is only Vanilla (Android without any phone manufacturers' UI's like Sense or MotoBlur).
EDIT: In the Volume settings, "Media Volume" should raise or lower Bluetooth volume. Ringtone volume might work too, depending on what bluetooth device you are using with your phone.