Cycles volumes mostly do not write to render passes currently. Given the transparency it's not always useful or meaning to do this, but we can do better.
A few known issues:
[ ] Cryptomatte is not written for volumes. We could accumulate cryptomatte contributions of objects while ray-marching.
[ ] Mist is not written, which causes the background value to be used when the volume is opaque. More useful would be to either write it based on the volume position weight by transparency, or to write mist for the object behind. (T91280)
[ ] There is no Volume Color pass currently, equivalent to the Diffuse/Glossy/Transmission Color passes. We do now write albedo for denoising, a similar thing could be added for volumes but it's unclear if this is useful for compositing in practice, especially with overlapping volumes.