After a confusing bit of searching and talk on Unreal Discord, I’ve finally come to grasp that volumetric lightmaps don’t work together with stationary lights. But it begs the question: why not? The only other posts I’ve found on the forum are others being confused about it: 1, 2
In the docs, the sample screenshot for volumetric lightmaps shows the desired effect: https://docs.unrealengine.com/en-us/Engine/Rendering/LightingAndShadows/VolumetricLightmaps
This works fine for static lights. However, for stationary lights, only the baked GI is affected by the VLM, which means that the feature is basically useless for stationary lights. To me, it does not seem unreasonable that the VLM could and should also affect the direct light of stationary lights. Otherwise, what is the point of even having the volumetric samples for them? Stationary lights already effortlessly blend baked and dynamic shadows, so it does not seem like a stretch that they could sample the VLM to shadow the direct lighting.