I have installed KMix but I do not see the volume bar (the one in the middle of the bottom part of the screen) when increasing/decreasing volume. Do I need to install anything else?

KMix normally is installed by default, why would you have to install it separately?

Does the sound work? Then check the Notifications in the systemsettings, did you change something there? Did you modify anything in the default sound installation (Pulseaudio, Phonon, KMix)?

I can't talk for the two distros you have installed, but in Kubuntu the OSD shows a horizontal volume bar when I change the volume by default.

In Arch Linux it needs to installed separately as I installed only core KDE stuff. Sound works all right even the media buttons on my keyboard do increase & decrease sound volume I just don't see the volume bar similar to the one when the brightness of the monitor is changed.

Make sure your Sound installation is complete, namely you need Phonon, KMix and Pulseaudio.

FWIW: KMix and Phonon are default even with a basic KDE installation, and Pulseaudio is default on Arch anyway.