The Vol and Page reference is used at the General Registration Office which has the records for the whole of England and Wales, and as you have discovered this has no relevance at the local Registry Offices.

As to why the local office has no records I can make a few suggestions, but first I have to ask the dumb question; this was the office LOCAL to the event?

If the marriage took place local to one of the sub registration offices AND that office has been transferred to another district then the records will be with the current district. This happens a lot, and you could check http://www.ukbmd.org.uk/genuki/reg/ which has all the info.
There is always the possibility that transcription errors are involved, did you check the IMAGE when you found the BMD index entry?
Regards Rob