I don't like this at all. I have my Ringer/Notification sound low, but not the Media/App volume. And when I get a text, Cortana is loud as hell. They should tied the text alert of Cortana to the Ringer volume.
They should separate it some how. Leave Cortana with media volume except for the text alert " you have a text from....". That part should be tied to ringer/notification volume
Maybe the better approach would have been having a "master volume" slider and then a volume slider per-app basis like on Desktop Windows (7+ I believe)...