To create a volume aggregate, you can use the Volume Aggregate Editor, which can be accessed from the right click menu in the viewport:
Hit the + button, to create a new aggregate. You can then start adding volumes that are in the scene to the aggregate:
You can also select the volume you want from the viewport and then add it to the group, from the right click menu:
To specify the global volume aggregate to the integrator, make sure an integrator node tree has been created (see Integrators in Blender), and then select the volume aggregate name in Volume Aggregate Name drop down list.
If a volume aggregate name has not been specified to the integrator, any volumes that are part of a volume aggregate will not render