Mine works the same way.  I programed my Harmony remote to turn on the TV first, then the A/V Receiver, then the STB.  When everything comes on the TV displays the image and sound for a second, then the TV displays the Video Out menu, the screen goes black, then the Picture and sound come on.  There is a few seconds where the STB is getting the "Handshake" from the TV.  Asside from that everything turns on and off fine even though I have everything connected with HDMI cables.