You didn't say *which* remote you were trying to use. When sound is going through the receiver, you need to change the volume using the receiver's remote, not the TV's remote.
You'll get slightly better audio if you connect the TV's digital optical audio output to the receiver. The difference might not be audible to you, though, unless you listen very carefully. Similarly, connecting the coax digital audio output from the Blu-ray player directly to the receiver should give somewhat better sound. (Most Sony Blu-ray players have coax digial audio outputs. I'm assuming yours does, too.)
In particular, if you have a 5.1 channel surround sound speaker system but use stereo (red/white) analog audio connections, the surround sound has to be decoded in the receiver (using ProLogic) to produce 4 audio channels: left front, right front, center front and a rear channel. This limits their audio quality plus limits both of the rear speakers to providing the same sound. When you use a digital audio connection, you get completely separate audio channels for each of the 5 main speakers plus the Low Frequency Effects channel.
Also, most TVs can only forward stereo from connected devices to their digital audio outputs, although they can provide 5.1 surround sound from some of the broadcast (or cable) TV channels that they decode. Connecting the player devices directly to the receiver lets all of the audio surround-sound channels get through.
Does this help?