Yes, would be under cable box rather than converter box. I think really more for older u-remotes that don't have converter box programming. Also requires turning on the Pioneer cable box function in the CM's menu (sounds like you could get in the user menu with the RCA). You could try it if you have an older u-remote or maybe even try it with the RCA via programming for a cable box.
That seems weird though as a converter box-dedicated u-remote should have good functionality. Does the mute function work? Also try the arrow keys rather than the volume keys. I'll have to try mine again when I get a chance but currently have jury duty (I don't have it programmed anymore as I got an HD tuner).
Edit P.S. Also watch for pass-thru or punch-thru function on the RCA that makes the TV take priority on the volume control. Check you RCA manual.