1, No you don't do anything while in the directv device, it has nothing to do with volume.
If you don't have a tv code, yours or any brand's code programmed to the tv device, all you get when pressing the volume keys is a message at the bottom of the screen, if tuned to the sat receiver, that the tv device isn't programmed. for petes sake put any code on the tv device, right?
You than program code 30135 to either av1 or av2 device, the volume keys won't work, they never do initially with ANY audio code, because the tv volume is in the way. So if you want just the onkyo volume in the av1 or av2 device you would do the following:
1. av1 or av2
2. press and hold MUTE & SELECT for two blinks
3. enter 9 9 3
4. press VOL DOWN
But you want the onkyo volume in the directv deevice, so thats why you do the following:
1. av1 or av2
2. press and hold MUTE & SELECT for two blinks
3. enter 9 9 3
4. press SELECT
Now the onkyo volume is in all devices, thats includes directv device, AV1, AV2, and TV
if you want to restore the tv volume to just the tv device you would do the following:
1. TV
2. press and hold MUTE & SELECT for two blinks
3. enter 9 9 3
4. press VOL DOWN
The 993 procedure tells the remote what device the volume is coming from, not where its going, its either ONE device or ALL devices.