When I try to change volume from the main app, it says there are no TV/AVR volume profiles set up for the receiver.
When you create a TV or AVR "profile" in the Volume plugin app, there are two primary things to configure. Obviously one is that you need to configure the volume plugin app to control your TV or AVR if you have one that is compatible with the app.
Perhaps a little less obvious, you also need to tell the volume plugin app which DirecTV receiver(s) you would like to work with the selected profile. For example, if you have a DirecTV receiver in your living room named Living Room and you also have a profile for controlling the TV in the living room, then you want to be sure to select the Living Room DirecTV receiver in the plugin app while on the living room TV profile. The button to do this is just below where you enter the profile name, and is labeled "Edit / View".
Because the pro version allows you to change names of DirecTV receivers, the plugin looks at the receiver's IP address in order to determine which (if any) volume profile it should use with the current DirecTV receiver. For this reason (and as I always recommend anyway), you should consider using static IP addresses or DHCP reservation for your DirecTV receivers. If you do not do this, then you may need to reconfigure the allowed DirecTV receivers for the volume "profile" in the plugin if the IP address of the DirecTV receiver changes.