Well...don't do that.
The recommendation to start by forming a burr is a crutch intended to help you see when you have removed enough material so that your sharpening bevel actually reaches the edge. This is great for inexperienced users since the commonest problem is people running out of patience before they have done enough sharpening to reach the edge. It is NOT the most efficient or cleanest way to do your sharpening. As long as you can tell what you are doing (such as by using a felt tip marker on the edge) and you can hold a reliable sharpening angle (such as by using a Sharpmaker) you do a better job by honing on alternate sides. Burrs are actually bad and cause problems. Usually these are problems that you can get around, but it is best if you minimize burr formation in the first place or remove them carefully early in your honing process.
Burrs are raggedy bits of metal attached to your edge. They are commonly uneven. They are simply an unremoved remnant of the metal you have been removing around the edge. The more metal that you have removed beyond what it takes to reach your edge midline, the longer your burr will be. The coarser the hone that you used to create your burr, the raggedier your burr will be. Using a coarse diamond hone will roughly remove a lot of material and leave you with a long, scruffy burr. This burr is likely to fold over and/or break out pieces of the edge when you try and take it off.
The length of the burr and its tenacity also increases when you have a ductile blade alloy (by ductile I mean something that tolerates bending to the point where the metal does not spring back and does not break). Carbon steel is more ductile than stainless and so this could be part of your problem if your Opinel has a carbon steel blade.
So what should you do? If I started from scratch with your tools I would work one side of the blade at a low angle on the DMT coarse, but I would apply light pressure and I would switch sides as soon as I felt the slightest burr on the blade (I would not go for a burr for the full length of the blade). Then I would switch sides and work the other side until I felt a burr on maybe 50% of the edge. I would never want to put a serious burr on 100% of the edge using that coarse hone. At this point I would want to get rid of this burr before I finished the edge using lighter hones. To do this I would used a hone of fine or medium-fine grit, preferably a sharp grit like diamond, but I would use what I had (first choice diamond, second a water stone, third an aluminum oxide bench hone, fourth choice the flats of medium ceramic rods, and lowest a silicon carbide hone--they tend to be ragged). I would lightly hone alternating sides of the edge, using edge-forwards strokes, at around 40-degrees per side (this is twice the angle of the Sharpmaker "40-degree" setting). I would hope do only do this about 5 strokes per side, but you do it the minimum number of strokes to remove the burr. With a Sharpmaker I do this by puting the medium rods in the "40-degree" holes and hold the blade parallel to the angle of the left rod while honing on the right rod and parallel to the angle of the right rod while honing on the left rod.
Now you switch to Sharpmaker rods and start following Sal's instructions. You do NOT work one side at a time. You work alternating sides. If you really want it sharp do all of your work with the rods in the "30-degree" positions. Start with the edges of the medium rods and hone with only moderate force. The edges of the rods will apply high pressure to the edge and can overstress it if you use too high a force. This might be a good time to be using a felt marker on the edge or a magnifying glass to see when your honing has fully reached the edge (you don't want to get back into that burr business). When you have reached the edge on both sides along the full length switch to using the medium rod flat sides. Don't use too much force here, but you want to make sure that the edges are smooth and even. At this point I would jump to the flats of the white rods and do about 5 strokes per side (through all of this work alternating sides, not one side at a time).
Now despite having deburred earlier and having used alternate-side honing you still have a small burr to get rid of. Go back to the flats of the medium rods. Put them in the "30-degree" holes. Holding the blade parallel to the opposite rods to double your angle, very-very lightly hone the edges about 2 or 3 strokes per side (alternating sides). You only want to remove the micro-burr not make your edge more obtuse.
Now hold the blade vertical and lightly do five strokes per side (alternately) on the flats of the medium rods. Then switch to the white rods and lightly do five strokes per side on the flats. Now to finish the edge slightly tip the spine of the blade away from the rod on which you are honing (tip left for the right rod and right for the left rod) and very-very lightly hone the edges about 2 or 3 strokes per side. The idea is to move from 15-degrees per side (the basic "30-degree" edge setting) to about 17-degrees per side. Since the edge is flexible this will yield a true 15-degree per side finished edge.
Using this technique should give you a sharper edge than your Calypso Junior.