I also have a Pioneer receiver, and experienced the frustration of not being able to train the Siri remote the change the volume.
After upgrading to TV OS 9.2 it still didn't work. I saw a post about upgrading the firmware of the Siri Remote from 0x241 to 0x245, but that didn’t work either.
Finally I connected the HDMI output of the Apple TV into the receiver, and then the receiver into the TV. I simply chose the option on the Apple TV to use IR to control a receiver, and presto, it just works, no training required. I have not gone back to Apple TV HDMI into my TV, Toslink from TV to receiver, and it still all works as expected.
This is a very non-intuitive way to solve the issue. Obviously the Apple TV has a list of receiver manufacturer codes somewhere in the TV OS, but they have chosen to not expose it directly to the users. Too bad.
Oh, here's how to update the firmware on the Siri remote:
1. On your Apple TV 4, open the ‘Settings’ app from your home screen.
2. Click and open ‘Remotes and Devices.’
3. Now open ‘Bluetooth.’
4. Now you’re going to highlight ‘Remote’ at the top and press the ‘Play/Pause’ button four times in quick succession.
5. At this point, you’re back at the ‘Remotes and Devices’ screen. If there’s a firmware update available for your Siri Remote, it will start downloading in the background and will be installed when your Apple TV 4 is in sleep mode and not in use.
