This is a common perception.
The bottom line: You are dealing with a digital medium, be it SACD, DVD-A, CD, etc.
At SOME point in the chain from source to speakers, it has to be converted to an analog signal, since speakers are an inherently analog device. If you use the HDMI output, then the receiver or processor is doing the conversion from digital to analog. If you use the analog outputs, then the DVD player itself is converting the digital signal to analog. As to which will sound better, well it depends largely on the quality of the digital analog converter stage of the device. Other factors enter also, such as how well your receiver handles bass management from either the analog or digital signal input. Some receivers offer no bass management from the analog inputs.