gnome-keybinding-properties does the configuration part. The settings are set in GConf, a database that propagates changes between applications.
Those settings are read by
gnome-settings-daemon, which configures your keyboard to get the key events. Some of the keys are handled by gnome-settings-daemon directly: the volume keys, and the key that starts your prefered media player. The others (play/pause, skip a track) are exposed on a D-Bus service; your media player registers itself with the service, and gets the key events forwarded to it.
You can ask KDE to start
gnome-settings-daemon at start-up, so that the volume keys are handled. I am not sure KDE media players can use the same D-Bus service, for play/pause and the like. Amarok 2 can, with this plugin. For other players, hopefully the freedesktop.org collaboration effort will standardise this sometime this century.