Hum… still very strange, as the problem did not show up with other distributions such as Raspbian.
I’m wondering if this may not be a side-effect with some Wifi access points due to empty CDRA…wished such hypothesis could have been tested before.
Anyhow, good for you!
Indeed it is strange that it did work with Raspbian.
I’m happy to do some more testing by instruction and supply logs, if that will help Volumio! 
(I wouldn’t know how to start with that myself unfortunately)
logs were generated in first place: you may have a look here.
@PaulM as it works now, it will be difficult to diagnose more…
If it fails again, as a first measure, please try setting CRDA as advised earlier (some wifi AP may not like it not been set at all).
if no connection is available,one problem is often WPA and WPA2, if you set it to WPA the problems should be eliminated