Does DVR need to be turned on to record scheduled program?

No it does not. Technically, it never is 'off'. The two lines that come into the back of the DVR are both solid constant feeds coming in, and the DVR is constantly monitoring start times that are your scheduler.

** Additionally, it is BEST to 'shut off' the DVR when you want to record 2 simultaneous programs on different channels, so that it is not using one of the feeds to display the channel it is tuned to (even tho your tv is shut off) while the other feed is used for recording.

When the receiver is 'shut off' it will use both feeds to ensure successful recording of both programs.