I'm a KISS guy, but somethings more is better.
The volume control on a CDP, like the digital control in the Sqeeze Box might work very well, but normally not (dynamics are clipped).
Another concern is the output impedance of your CDP versus the recommended input impedance of your amp. Typically you'll be OK if the output impedance of your CDP is below say 300 ohms. The vast majority of CDPs have high output impedances. A mismatch results in loss of detail, "blackness" of background, bass, micro-dynamics, macro-dynamics, and high frequencies.
Crappy cheap volume controls and impedance mismatchs are why there is so much interest in buffers, high quality volume pots, transformer based passive pre-amps, and conventional pre-amps.