I would start there.
Also, you should be using the Onkyo to adjust your surround options, not the BD player. Let the Onkyo do the decoding if possible. Make certain those output settings are correct on your BD player.
Did you assign the various inputs on the receiver yet?
I don't believe this remote is a universal remote, but some of the Onkyo receivers do offer the ability to add remote codes for non-Onkyo components. Does the ability to utilize the standard power buttons on your HDTV & directiv come back when you disconnect the HDMI cables?
I bought a new system an Onkyo HT-S3500. I am trying to use the HDMI hookups only. I hooked my DirectTV into HDMI 1 (BD/DVD) and my PS3 into HDMI 4 (Game). If I leave it as that, I can't adjust the surround sound options like Theatre, Movie, etc...on BD/DVD. Also the setup and power buttons do not work. I also cannot get the power button to work at all on the TV or DirectTV remotes. Help please.