The function on the onscreen remote is only to turn your cable box on and off. The remote does not turn the TV on.
If you are finding that your TV turns on as well, most HD televisions have a setting inside the TV to sense a signal through an HDMI connection. Once the HDMI cable has a signal flowing through it, the TV can sense the signal and turns on the TV. If you do not want this to happen, then this is a setting inside the TV and you need to look at the TV manual on how to shut this setting off.
Hope this helps!!!
Sling Media Moderation Team