I don't think this is posted before, but I'm pretty sure I found something a little funky.
It would appear as though one cannot use the iPhone app or the DirecTV web site to tell your THR-22 to download an On Demand title (that you can tell your THR-22 to download if you are sitting in front of it).
On the website, I am able to tell my THR-22 to record a future show, but if I attempt to "record" something from the On Demand library, I get the following error:
On the iPhone app, I tried to record a couple of different On Demand titles that I have subscription for (on HBO). Here's a picture of the message:
(I was able to download the shows when I went home and used my television as the interface.)
So, while the error messages are a bit unhelpful (particularly on the web-site), I would guess that this is something one cannot do with the THR-22. It wouldn't rate that high on my list of things to change about it, but I thought I'd share this tidbit.