Hi Stan,
We must think alike, as I have the same set up and have been frustrated that the controls on the BS5 were redundant as far as volume and turning the system on, and played around last night but managed to get it working.
I carried out the same format as you, connecting my speakers to the BS5, the BS9000 then went into option 0 as no speakers were connected, then as opposed to setting the link option on the BS5 by remote, I went into 'Roles' in the settings menu, then set the Audio Master to Yes, then into AM Option which now includes options 5 & 6 and set it to 6.
The system now works as I expected, and you even get the CD number and track number on the screen of the BS5 when listening to a CD from the 9000, and all the knobs work on the BS5. You can only listen to CD and Radio in the link rooms though as N.Music is then selected on the 9000, as opposed to the BS5, as you stated.
Hope this helps, let me know how you get on.
Kind regards
Paul