I think I understand what your problem is, although pictures are always helpful. From what I understand, you only want the volumetric effect applied to a small section of the scene? Just make the shape that you want it confined to (a cylinder in this case?) and apply your volumetric shader to that.
I assume you took a sphere or cube and enclosed your entire scene in that. If not, then disregard the next part.
It also sounds like you’re not applying the transmat shader to the material and shadow shaders. If the rest of your scene is going dark it’s probably because your geometry with the volumetric shader is blocking the light sources.
I use Maya, by the way, so it might be a little different. And, again, pictures would be more helpful because I’m having trouble visualizing exactly what your problem is.
Edit: I use this method to do volumetrics fyi: http://cgnotebook.com/wiki/Mental_ray_volumetric_shadows_with_parti_volume_in_Maya