Is the remote you received from Comcast one of the silvers one on this page (second, third, or fourth one)?
[Link: comcast.com]If it is you need to change to volume lock setting to make the volume control work with the receiver.
If you already found the code for your Kenwood receiver, you can change the way the volume keys work. The default setting is to have the TV control the volume for all the device modes, as you already found out. To set it to use the receiver:
1. Press and release AUX
2. Press and hold SETUP until the remote blinks twice
3. Type 993
4. Press AUX
5. The AUX key will blink twice to confirm
Now the volume keys (Vol+, Vol-, and mute) will be controlled by the AUX device.
If you haven't found the device code to control the receiver, and you've already tried all the ones in the manual, there still might be a way. I need to know the model number of the receiver, and maybe I can find it.