I just got through learning those codes myself. I did find they learned the same way you are mentioning... except when I moved the DVD remote closer to the Pronto during the learning process. I don't know why this would work but it did begin learning normal length codes. Before I found that out, I was using an old TSU3000 remote to learn from which seemed to do the trick.

I found these 'blue hex' codes that show up will most likely not work when used in macros and may not even work at all, as you have experienced.