The VIP622 does send audio over HDMI along with the video, or you can grab the audio via Optical(Has Output). I have a VIP622 and just set it up via HDMI to my new Sony STR-DG910 HDMI receiver, and everything works(DD7.1 when available) via just HDMI
I am not familiar with your Denon receiver - does it have HDMI inputs or are you running the HDMI directly to your TV, and then just audio via optical. It sounds like the Denon receiver is not seeing the audio stream for the input your using(Its got to be assigned in the setup)
Lastly, when did your VIP622 get installed, as it may not have the latest firmware yet(Dish pushes them out on their schedule) and there were alot of problems with HDMI audio on older firmwares. You should be on L441.
Just throwing out some ideas