This would not be a Sony DVR issue but a premium channel/cable provider issue. In my area Time Warner Cable "flipped the switch" at some point last year, so that I can't record anything from HBO onto DVD, even using the VR mode on DVD-RW discs (see your Sony manual). So I can record from cable, except for HBO. It is a setting in the signal from the cable company.
Formerly HBO signals were "copy-once", then became "copy-never". At the same time DVDs of all the HBO shows were produced for sale\rent. And of course these shows and movies are what everyone wants to record with a DVD-recorder, so you feel like you have been ripped off since the DVRs have programmable recording similar to VCRs. The supreme court ruled that fair use allows recording from TV to VCR, but the companies have cut us off for even analog HBO.
To get around it you have to use a PC and some software. I think I posted something about it in the past.