It seems that you are having some issues with your Slingbox and the set top box since you cannot take advantage of the two tuners on it.
The main issue is that this box (VU+Duo) is not a dual tuner box. This is the main reason because you cannot accomplish this task. With a dual tuner box, you will be able to watch the "live" TV signal and you can record at the same time. Since the VU+Duo box is not a dual tuner box, you will not be able to achieve this specific task.
Hope this helps!