So why can people and other objects just go in the one direction while radio signals can go both ways? Is that ever explained or is it just fact?
When matter (e.g. a human) enters the gate, it's converted to energy, that energy is transmitted via the wormhole between the gates, and the receiving gate converts the energy back into the matter it originally was. However, the wormhole can carry electromagnetic energy without conversion. This means radio waves can traverse the wormhole. When a gate dials out, it then takes in matter and transmits it, the receiving gate will not receive matter and transmit it, so it's a one-way affair. This prevents messes that would happen if a person were to be stepping through a gate at the same time someone was coming out from the other side.
There is actually a great plausible physical explanation for this they could have used (I've never seen this canonically explained, though).
Matter is made of fermions, subject to the exclusion principle; radio signals are made of photons, which are bosons (not subject to the exclusion principle). You could have argued that the stargate can only transfer fermions in one direction due to some unspecified law of nature, but that it can transfer bosons both ways (maybe because they can overlap, which fermions can't). This jives well with the fact that black holes can have a gravitational influence on the initiating side of the gate, since gravitons are also bosons.
A simpler explanation (maybe more justifiable to a lay audience of the show, but less physically sensible) could be that sending radio signals only transfers information, not matter, which you can do just by - uh - mirroring to both sides all pulses at the surface of the event horizon; so you are not really "transferring anything" across the wormhole and it's not affected by the directionality rule. That makes it sound like radio acts like sound, but we don't know what surface of the open gate "is made of", so you could make it work.
Far harder to explain is why you can send radio signals through, but not visible light (the surface "shines" but it's always with the same intensity so it's not just light from the other side, and you can't "see" what's on the other side, in either direction. Why?)
In practice, of course, the reason is that it makes for a good framework for storytelling.
The stargate universe seems a little confused on this fact. In the first episode the Goa'uld (sp?) traveled through the Stargate to Earth and then back again without disconnecting the wormhole or dialing out (pretty lucky for them, because with no DHD they may have been a little confused). But in season four carter talks with Cadet Hailey at the academy and implies it only goes one way, which seems to be the case throughout the rest of the season. I'm thinking they may not have had all the kinks out in episode 1 but I think it's a funny mistake either way. :)