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Perhaps it's dependent on the order in which you hold the buttons, but I also wonder if you have to do the code for the input and then the scene selection back-to-back.
First, let's try the order. When you try it, do you press the "Input" button first, then press the "Scene" button, and then hold for three seconds? If not, try that. If so, try pressing the "Scene" button first, then the "Input" button, and then hold for three seconds. You might need to wait until the "TRANSMIT" button flashes before letting go.
If neither of those works, try the following. Follow the instructions on page 44 of the manual in regards to programming the code for an external component and then immediately try assigning the scene to that input.