Might you be hitting the wrong keys?
In my case, the drawing had been open when the xref was revised. I closed the xref master file, saving it, and after calling for the xref to be refreshed, I decided that I needed to turn off the fills. To do this, I selected the F in the SWOTHLUDFB box, then hit esc., no result, then U, no result. Called for an xref refresh, then tried U again with no result. It was then that I posted the first message in this thread. After returning to the drawing, I used Identify on the xref and it then began to respond to the F setting to display/supress the fills. It is not a case of hitting the wrong keys, it is a case of the xref not responding after using all the normal methods. BTW, this is a clipped xref.