Hi. Are your CD player and satellite receiver connected to the receiver using digital audio connections? If so, my guess is that the receiver isn't converting the digital input signal to an analog output at the VIDEO AUDIO OUT terminals. There may also be some copyright protection involved, but the lack of digital-to-analog conversion for those outputs is my first guess.
If that is how you have it connected, try connecting the CD player and/or satellite receiver to the Sony using analog connections and then try again to record from the VIDEO AUDIO OUT terminals. I think that the CD player has a lower probability of having copyright protection issues, so I'd recommend trying that one first.