That sounds like a DVR feature. I have DirecTV, but I haven't heard of that (nor do I use their DVR -- I prefer TiVo.) "On Demand" seems to be a DVR type thing.
My husband has Netflix and he watches movies often. I'm backlogged and I tend to just watch whatever shows I have saved (just watched a commercial for Black Friday -- from last November) on the DVR, although I would like to use Netflix if I ever had the time to sit and watch something longer than 45 minutes.