Sony headunits have gone up tremendously in quality over the past few years...they are right up there with Pioneer, Alpine, JVC, etc. A few years ago, their headunits were JUNK though. Looked great...functioned great...for a bit...then began to fail.
And the Pyramid subs aren't exactly designed to be amazing...but they're better than the OEM subwoofer (which costs around $300 if you buy it from the dealership) and they only cost $20/shipped. Hrmmm...I dunno...weighing the options. I'd much rather spend $20 on a better quality alternative than the $300 OE replacement.
Shinna, I'd contact Sony customer support...see if they've heard of this issue. I'm under the impression it is in the settings of the radio and not a physical connection issue since the sub works with the radio.