I found an older post regarding this situation for Ubuntu 15.04 and a bug report that was filed for it. That can be found here:
I tried to duplicate your issue using a set of Bluetooth headphones but was unable to do so and do not have a wireless speaker to try out but I think the resolution put forth in the bug report would be worth a try and can always be undone easily. It involves adding some lines to a Pulse Audio file using a text editor.
You can open a Terminal window and type:
sudo scratch-text-editor /etc/pulse/default.pa
Once the file is open in Scratch, add the following two lines to the bottom of the file:
# automatically switch to newly-connected devices
Once you've added the two lines, close Scratch to save the file. I would then reboot, connect the Bluetooth speaker, then test the volume to see if you've got it solved. I would also disconnect the Bluetooth speaker and verify you're able to adjust the volume on the internal speaker(s).
Good Luck and please reply back as to whether or not this was successful.