Hey guys, I hope you don't mind if I horn in, since I have this exact question with my newly-acquired HR20, which I have setup to have all audio going through my Denon AVR 2801 receiver.
I went through part one of the Program Your Remote guided setup script, and it seemed successful in that I could power off my receiver with the power button. Then...
With a tv code programmed to the tv device, and a code for your stereo programmed to av1 or av2, to get the stereo volume punched through to all devices:
1. av1 or av2
2. press and hold MUTE & SELECT for two blinks
3. enter 9 9 3
4. press SELECT
...when I tried this, which is given as part two of the Program Remote setup process in the Guided Setup, I get nothing. When I try to use the volume button in DTV mode, I get prompted that my remote hasn't been programmed, do I want to go into the Program Remote guided setup.
Is there something known, and peculiar about my receiver?