No, you do not have to connect the USB cables. I unplugged all my USB cables to the computer and changing menu 31 still changes the state of the blue "Coax..." indication below the forward power meter. Until that is fixed I don't think you will make progress.
I am not aware of a setting that would affect this behavior so at this point I think you need Elad to help you.
You could try connecting a second antenna to the RX input with menu 31 set to antenna 2 just ensure that input is working but until you get a blue "CoaxRX+TX" indication the problem is not solved.