When I first encountered inverse trig functions I had the same problem. It turns out that
but rather,
So when you are taking the arctangent of a number, call it A, you are asking "The tangent of what number gives me A?"
So for arctan(0), you ask "The tangent of what number is zero?" And you note in your post that tan(0) = 0. Apparently the tangent of zero is itself zero. Then arctan(0) = 0.
As far as the volume goes, we have:

,
then the volume integral is:
which is equal to just what you said in your post:
Now this is a horrible integral involving complex numbers, but in this case the imaginary part is zero. The best thing to do is just use the numerical integral solver on your calculator. You should get about 25.23 for the total volume.