Probably the design constraints here make this pretty necessary: you want the user to be able to hold the button down to adjust the volume by large amounts and release when it gets to a comfortable level; sending individual volume packets this quickly causes too much traffic over the slow connection; and the remote doesn't have any way to receive packets from the controlled device so it can't just send absolute volume levels.
Another constraint might be power draw. If the remote was battery operated every time you fire up the wireless bits you drain the battery some amount. More wireless time == shorter battery life.
>_<