Looks like I don't pay attention when I read..... ( Finally figured it out when you said DVI)
I have a Sony HS10 but not a Projector. It is rear projection. Sorry about that... It looks like all my remote functions work and are progrrammable on that remote but I am assuming the Projector is not the same.
My Sony Receiver however is doing exactly what you are seeing. commands which need repeat like the volume are either ignored or stop so instead of the volume changing smoothly, it jumps wildly or doesn't move at all. Creating macros for my 4DTV receiver is even worse. almost all of the commands are ignored. I had to but in 1 second delays after each button in the macro sequence to get the correct effect. Were talking 5-6 second macros. Shortening the delay increases the unpredictability.
Currently I am worse off then I was before I got this remote. Besides the horrible battery life I am still using 3 remotes... Guess I should have learned from my other URC experiences.