So its been more than a month now that I have this issue, that all of a sudden, the volume down arrow key stopped working. I tried searching a bit on the internet is others are facing the same issue and indeed, there were many like me.
I found only one thread in Nokia support forums on this issue where they speculated that it was a software issue. One rep from Nokia also said that it was due to an update with their music app and he recommended that we uninstall it and update to Amber. While this worked for some, it did not work for all (including me).
Others took it to Nokia care when they had a terrible time, in trying their hand to fix it, they made it even worse. For one user, the phone mic got busted and was not able to make calls, worse still, he did not get a replacement. For others, they changed some membrane below the volume rocker and that seems to have done the trick.
As of now, I still suffer from the issue and its really getting on my nerve, not sure if I should take it to Nokia care or wait for some software update. If you guys have faced the same issue or got any suggestions, please do post them below.