I just figured it out. I have a Yamaha RX-V4A that just started doing this to me, and at first I thought I messed up some setting or other. Found this site, saw people mentioning the short message needed to be on, confirmed that yes, it was on. I tried turning the short message off back on off back on restart the receiver etc etc. None of that worked, so I started messing around with the options menu as one of the other posters mentioned. Lo and behold, I could suddenly see the mute, volume changes, and audio scene changes displayed on the screen. As soon as I went back to the HDM1 that was running my TiVo Edge, the on-screen display would no longer show up. So I tried messing around with some of the other buttons on the remote, and I discovered that other inputs such as my Roku, my old TiVo, the net tuner, you name it--all of them showed the on-screen display just fine, and would even let me switch it from the top right to the bottom right of the screen from the menu and continue to display as expected. So what was the problem? Somehow or other my TiVo edge was interfering, I rebooted the box, and voila! It wasn't the Yamaha receiver at all. The TiVo was just sending a bad signal to the Yamaha receiver, and that somehow messed with that signal getting to the television display. Once I saw that all other inputs were displaying the volume digits and the mute etc, even my old TiVo that was still plugged in to the receiver was showing them okay, it was just the new TiVo Edge where it was failing, I figured it had to just be either a setting on the Edge itself or it needed a system restart. Rebooting was the answer, it powered back up and everything was fine.
The old adage of "When all else fails, do a reboot" held true once again. Fixed it for me.