Play on one device, control volume on another one without exchanging zones

You will have to do it manually via remote then. You’re asking for something Roon was not designed to do. It controls the devices it’s playing to.

The only way around this is to find a harmony hub remote system, run the deep harmony Roon extension on a raspberry pi or Linux machine using Roons extension manager. This will the allow you to set up a macro including both t/a dac and Hegel amp then in Roon you assign volume control to the extension and it can control the volume of the amp via Roon remote instead of it being the DACs only.

This is how I manage to get Roon to control volume n two of my systems where there is an amp in the chain and I have a fixed volume streamer.