If you press play to watch the show from MyVOD, the Back button should take you to the list with the show you are watching highlighted and it will still be playing in the window.
If you press play to watch the show from MyVOD, the Stop button should do the same, but it will take you to live in the window if you are watching a show that is still recording. Or it will be live tv tuned to the last channel you are watching if it was recorded.
Now, if you select a show in MyVOD by using the select button, back will take you back to the info screen when you can delete and some other commands (I believe as I don't do this).
At least this is how I believe it works. I'm still trying to get it all straight myself.