I think you need a certain version of the DVD player software for the power-on functionality to work - if you have a PSTwo you should be fine, but I, for instance, have a launch (well, near launch) PS2 with the software from the first released remote that didn't have the power-on button, nor the functionality in the software I'd imagine.
Come to think of it, I'm not sure if it was a power-on/off button or just a tray eject button.