Here's a couple of possibilities:

1. Which Pioneer receiver do you have? I just got an SC-85 but have to use the remote codes for the SC-75 as those for the SC-85 aren't yet available. I couldn't find codes for the up, down, left and right keys which work in the tuner mode (used for labeling stations). In the past I had to learn codes like this. This time I discovered existing codes, specifically, the preset +, preset-, tune + and tune- served dual purposes as they act as up, down, left and right when the tuner is in the tuner edit mode. You may find existing codes in the CCP database, in the network section for your receiver, which do the same thing.
2.Alternatively, after you've learned the codes, check how many times each code is being sent (double click on it in the macro window). If they're only being sent once, that could be the problem. Increase the number of repeats to the standard three. If it's already three, try increasing it more. I have some wooden shutters which would never function with learned codes until I increased the repeats to about twenty (currently set to thirty).

Good luck,

Bob