I've hit exactly the same issues you have with my STR-DG820. I have Sky HD, PS3, and a Toshiba HD-EP35, all of which I hooked up through HDMI with an additional optical cable for Sky. My TV is a Fujitsu Siemens plasma with one DVI port, it does support HDCP, and is connected to the amp with a HDMI - DVI cable. Picture displays fine but no sound at all with any of the devices, unplug the TV cable and the sound works fine. Confirmed all the settings were correct on each device but no luck. I thought no problem, i'll just use Optical until I get round to replacing my TV. As a result I hit the audio priority issue you mentioned where hdmi audio overrides optical.
Completely fed up, I went down the road to my local shop and picked up an Onkyo TX-SR606 and hooked it up exactly the same way the Sony had been. Powered it up and everything was working right from the word go - sound, picture, HD decoding. The Onkyo has been fantastic and I've arranged an RMA for the Sony.
cliffai:
Yes there was signal on the optical output (I was using this before anyway into the A2) - I checked this again by removing all the HDMI connections, leaving just the optical connection from the Sky HD box. Like that I got the 5.1 DD audio. Seems crazy to me that they should leave out such a simple option as being able to force select the alternate digital audio inputs for the particular digital video input.
It's packed up back in it's box now awaiting an RMA number.
I really would appreciate the feedback on the 2400ES DVI-D inter-op when you have it. Like wise if there is anyone else reading this using HDMI HD audio from a PS3 with a receiver in conjunction with a DVI-D based TV/Monitor I'd be keen to know their experiences.
As a matter of interest I just found this other forum post
http://www.avsforum.com/avs-vb/showthread.php?t=1015512 where someone had exactly the same issue as me with the STR-DG720.