Harrylime:
I have the same problem/issue. My kit's different, but I have an SACD/DVD-A player connected to my AV amp (together with all the usual HDMI stuff).
Don't worry - it's normal!!
Only the DVD-A is output digitally because, as I understand it, DVD-A is a digital format. SACD is analogue and therefore requires you to output the sound through the 5.1 analogue jacks into the amp.
That's the reason I went with the Yamaha 667 - it's got 5.1 audio in unlike most of its competitors.
Interestingly, the Cambridge BD/SACD/DVD-A player you can get from Richer sounds (the only multi-format deck around, I think) does output SACD via HDMI - or so the guy in the shop said!
Sorry, but that is completely wrong. SACD is not analogue and my Oppo happily plays through an HDMI connection to my Onkyo 875. What is required is the amp must be able to decode the encrypted DSD format output by the SACD player.