Closed cabinet, unit doesn't seem to be able put OSD over component sources... Are there any options for mounting a volume level info display of some kind?

Too little information. What unit? Some units have a serial protocol where an external device can query for volume settings, you could then get a small computer with display of some sort to read this data and display it.

Otherwise, I'm thinking something like this (http://www.sweetwater.com/store/detail/D1500/) with a proper microphone could do the trick.

Unit is a Denon 4806ci.

Using an Mx3000 remote

I know of nothing standard that would do that. You'll have to go custom. The MX3000 doesn't have communcation back to the remote, so you can't get the volume display there.