MX-810:
Press watch DVD - Units are turned on/off - A/V switches, remote turns into DVD remote. If for some reason I want to turn the remote into a cable remote I just press "Devices" / "Cable", and no macro's are executed.

The MX810 did, in fact, build a macro, you just cannot see it as such.

In your MX850, select the DVD bitton, then select the macro tool. Build a macro on that DVD button on your main page that will do all the things you want your devices to do, then jump to become a DVD remote in the last step of your macro.