Solved it on myself. I needed to first delete the programed buttons for Marantz A/V reciever that I had under the DVD device on the Sony remote. Then I programed Volume for Marantz A/V reciever under the AMP device on the Sony remote. Then I followed the procedure to assign "Controling volume via an amplifier" for DVD device that is explained in the instructions manual. This was the only way that Sony remote will send a constant IR beam to the Marantz A/V receiver, otherwise it is only one signal per press or even holding down.
Now I came to some other complicating challenge to solve. I'm not able to teach Sony remote to select TV audio input on A/V receiver when TV button on Sony remote is pressed down. If I program any other Device button (eg. SAT) on the Sony remote it works and it switches to TV audio input. But TV button rejects that teaching. Kinda strange.
* Teaching procedure about that is explained also in the manual and it is quite straight forward, but hell yeah, it is not valid for TV input. Or maybe again there is some other trick?
