A keymove (994 sequence) is intended to program a single button on a single device mode to send a particular IR signal. Conversely, tapping setup followed by the 5 digit EFC (e.g. 00247) doesn't program anything- it just causes the remote to send that signal, but nothing is remembered in the remote.
You seem to be surprised that the receiver volume can be controlled while in TV or Cable mode. That suggests to me that you haven't read the instructions for the remote. That feature is called volume punch through. Lots of universal remotes can do VPT. I recommend that you look at some of the 994 commands
to get a better idea of the possibilities. Look especially at 973, 993, 994, and 995. Also see the end of the Wiki entry for sending an EFC code direct from the remote.
Some of the symptoms you're seeing are not consistent with each other. The AllOn button only sends the IR signals that have been programmed to the Power button of each device mode. As you can see from the LEDs, AllOn sends Cable Power first, waits 3/4 second, sends TV power, waits, and then sends AUX power. If AllOn can turn off the receiver, AUX Power should also turn off the receiver, because AllOn is internally simulating a button press of Power.
Similarly, if the remote can affect the receiver volume in TV or cable mode, it should also affect it in AUX mode.
One question: How do you tell that the receiver volume has changed? Is that displayed on the receiver, or are you just judging from the sound? If the latter, perhaps some other component is changing its volume, and the receiver is reflecting that volume change. It may make sense to disconnect the cables which connect the receiver to the TV, BluRay, or Cable.