Sorry to necro a post from a decade ago, but since I resolved this issue for myself today, I figured someone else might be interested in the solution. I was able to get my MX-500 to learn the PS2 remote codes for the directional buttons by using the "Duck Blind" method described here: [Link: remotecentral.com]

It took me a few tries to get each key to learn the code successfully, but now my MX-500 is controlling most aspects of my PS3 for me now.