I have a sony DVD and VCR too, I was able to learn the 2x jog and shuttle fast forward and rewind codes with no problem.

For 99% of the button's you learn, you want to start the learning process on the pronto, and then quickly press the button you want to learn on the sony remotes. The Jog and shuttle commands are the exception I have found. What I did was turn the dial on the sony remote all the way to the 2x position, and then start the learning process on the Pronto, not letting go of the sony's shuttle till the procedure was complete.

You want to avoid doing that in most cases as that made it difficult learning a bunch of my reciever's button's, so think of this as a solution for just this particular feature and not the best way to do it for the other buttons. I don't know if I explained that very well, so if you need more info just let me know. :)

Good Luck!