I'll try to clear a few things up for you.
1) You will not see anything on any display anywhere in the car as far as the remote start options programming is concerned.
2) You need to find the red LED which is located on the remote start module, most likely tucked behind your glove box. Park the car in the garage or do it at night for best viewing of the LED.
3) Once you hear the horn chirp four times you are in bank 1. Press and release the brake pedal once to hear the option you are on in bank one. The horn will chirp once for option 1, press brake pedal again to hear the horn chirp twice for option 2, etc... As you cycle through the options, pay attention to the LED light. If it's red, the option is enabled. Push the remote start key fob button to toggle the option. This is where I was doing it wrong.
It took me about 20 minutes and some extra reading to figure out the button on the end of the remote start cable is only used to cycle the banks.
4) After you have your settings the way you want, simply kill the engine to save the settings.