I have a very strange problem with my AVH-P8400BH and my GEX-P920XM:

When I select "XM" on the head unit, I can select different stations ("80s on 8", "90s on 9", etc") and it correctly tunes to the XM station. After it's tuned it then displays the artist and song, etc...

However, there is no music that plays out of the speakers!

I know the stereo is working because I can use the FM tuner (or my iPhone, etc) and it plays audio just fine.

I did test the GEX-P920XM inside my house (using a 12v PSU and this same exact stereo) because installing it into my car and it worked so I don't know what's going on...

Double check your connections at the XM unit. Pioneer tried to color code the connections so on the back of the head unit is a blue port. You would plug the blue port of the XM cable into the back of the radio. On the opposite end of this harness should be black. That would plug into the black port of the XM unit. You should have 2 ports on the XM unit. A PBUS-In and PBUS-Out. The only problem is if you don't pay attention to the color coded ends you will get them mixed up. If you don't get any audio from the unit but get everything displaying correctly. You have the P-Bus harness in the wrong spot on the XM unit...