The internal mute is for the television speakers only. The RCA feed is live - always - and is not controlled by the volume. The best way to mute, in your case the commercials, is by muting the amp/receiver that is controling the sound.

The mode not supported is showing up because you've already muted the internal speakers, and you can't mute the volume AND the internal speakers at the same time. The television sees that command as redundant and displays the message for that reason.