The DIAL NORM... display is telling you that the "Dialog Normalization" flag of the Dolby soundtrack has been correctly acknowledged on your receiver -- nothing to worry about.

Personally, I almost never use the THX mode -- it rolls of the treble too much, due to the X-Curve Re-Equialization, which I believe is unnecessary on most DVD soundtracks. Just the straight Dolby Digital mode sounds better to my ears.

I have no idea what the heck happened when you pressed the "volume down" button on that particular occasion.