As "luck" would have it, the other day I had to replace my old (2005) top of the line Denon receiver with what ended up being the current Denon top of the line model. And I ran into a similar issue as balboarules did (just a few posts above), although in my case I didn't get any warning message, I just wasn't getting a picture, no matter what settings I tried.
So then I thought about falling back to component cables, and then fortunately remembered the other suggestion I had made and gave that a try instead. And it worked. I now have my (in this case A35) hd-dvd player plugged into the back of an Oppo blu-ray player.
A shame Denon and Marantz can't keep all this stuff straight, but it's not like my old receiver was perfect either, but at least it could handle the XA2 and the A35 as long as I used LPCM audio.
Anyway, still haven't tried out a blu-ray, so it will be interesting to see how that works out now that my receiver can actually decode lossless audio instead of the player having to do it. Plus I have a couple things I may rewire down the road, as I'm currently still using the workarounds for them of being directly connected to the tv for video and to the receiver for audio, but now I shouldn't have to do that any more.
(My experiment in the previous post about rewiring the directv hd-dvr didn't work as well with the old receiver as the workaround was working, it (re-)introduced some additional delay issues when switching channels, but I'll be giving it another shot sometime today to see if the new receiver can handle just a single hdmi cable any better.)