Yes, it's a known bug.
The volume control will still operate normally--it's just the text that won't display correctly on that screen.
The bug doesn't appear in LX-5. It looks like the only difference between LH-6 and LX-5 is that in version 6 ROMs, there is a fix for the replay score adjustment.
There is also an unofficial HK-6 ROM floating around that fixes the volume text bug.
I think I just left LH-6 in my game. The text bug doesn't really impact anything, so I left it alone.