Thank you for everyone for reporting these!
Version 38 (you can see in the options menu) brings;
Fix for audio volume not being set correctly when in the menu.
Fix for "Clicked External Link" achievement
Fix for "Finished Game" achievement
Fix for "First Replay" achievement
Fix for "Entered Settings" achievement
Fix for "Starting" achievement
Found but not fixed issue with game not shutting down (tomorrow!) (you may have to shut steam down an open again to get first replay)