Well, optical does not support HD audio. It carries DD 5.1 and DTS, but not lossless or multichannel PCM. Of course, TV broadcasts max out at DD 5.1, so it really doesn't matter. At any rate, are you saying the Sky box doesn't output DD 5.1 over HDMI? If so, what are you doing for audio from Sky now?
As for the TV output, removing the optical cable appears to have made a difference. In post #3 you said the TV input on your AVR played Sky box sound. Now, if I understand your latest post correctly, you get no sound on that input, which suggests that input was actually associated with the optical connection from Sky, not from the TV.
So, I suggest you go back and double check your Denon digital input assignments. Also, it is possible there's a setting on the TV to enable the digital audio output. Some TVs do not send anything out that port by default. Or, maybe the optical cable is bad.