I managed to fix this with maxVolume of the AudioSource, I used it to store initial volume. Couple of extra things appeared to be need to correct volumes, which were set in other scripts. But don't mind that. Main code it this (I also added check for tag to know if it's music or sound effects):

function Start () {
    var sources = FindObjectsOfType(AudioSource);
    for (var source : AudioSource in sources) {
        if( source !== GameObject.FindWithTag("SoundTrack").GetComponent(typeof(source)) ) {
            source.maxVolume = source.volume;//set this only on start, we keep initial volume inside maxVolume
            source.volume = source.maxVolume * GUIMainMenu.effectsVolume;
        }
        else if ( source == GameObject.FindWithTag("SoundTrack").GetComponent(typeof(source)) ) {
            source.maxVolume = 1;//set this only on start, we keep initial volume inside maxVolume
            source.volume = source.maxVolume * GUIMainMenu.musicVolume;
        }
    }
}

function GlobalVolume()
{
    var sources = FindObjectsOfType(AudioSource);
    for (var source : AudioSource in sources) {
        if( source !== GameObject.FindWithTag("SoundTrack").GetComponent(typeof(source)) ) {
            source.volume = source.maxVolume * GUIMainMenu.effectsVolume;
        }
        else if ( source == GameObject.FindWithTag("SoundTrack").GetComponent(typeof(source)) ) {
            source.volume = source.maxVolume * GUIMainMenu.musicVolume;
        }
    }
}

Your problem is probably in line 5. If you set AudioVolumeInitial.initialVolume this won't affect the instance of the component you just created. Instead try this:

AudioVolumeInitial av = source.AddComponent("AudioVolumeInitial") as AudioVolumeInitial;
av.initialVolume = source.audio.volume;

This is C# syntax, I don't use js so I'm not sure about the syntax there but the point is to store the return value of AddComponent as a AudioVolumeInitial component and use that to set the volume.