I've never used that app, but from what I says here (http://ptepid.org/blog/?p=54
) and looking at the source code, you shouldn't see anything, so it may look like it just crashed. That program just opens a "file" (or the file representation of the sound device), writes a value to it and closes the file.
If you want to check what happened go to "settings" tab and look for a link named "Log viewer", and you'll see "Failed opening mixer for write - VOLUME" or "Volume set to -something-" in the log. If you don't have a "Log viewer" link, in "settings" tab look for GMenu2X link and activate the option "output log", then run volset again and the Log viewer should be there..
About the "from legacy to open" part... installation is easier than Legacy, you have to copy kernel and rootfs for opendingux following this instructions: http://www.treewalker.org/opendingux/
BUT to me it was a good excuse to delete everything and start from scratch to get everything clean and organized.
Also, if you search the forum you'll find more detailed instructions and troubleshooting, I really recommend this before switching.
You'll have to add again all the links to your apps because Gmenu2X in OpenDingux is part of the file system, it won't load your actual GMenu2X configuration (in legacy you had to "install" GMenu2X after installing Dingux). Some of your apps may not work, OpenDingux restricts the access to some devices that legacy Dingux allowed, so if an app tries to open them, it'll crash. Here's a partial (and kind of outdated) compatibility list: http://boards.dingoonity.org/dingux-general/opendingux-developer-pre-release-2-application-compatibility/
Anyway, search the forum for any specific app you need to be sure if it will work.