I've just bought an STR-DH820, and I have the same issue.
'Auto' keeps the receiver turned on for about 30 seconds, then turns everything off, but also doesn't turn the receiver on to standby when signal is fed into it.
'On' effectively keeps the receiver permanently turned on.
I don't want to always have the receiver turned on when I want to use my Sony DVD player or PS3.
Did you find a way of sorting it?