In addition, no matter what you play in the DVD player (DVD, CD, etc), the decoded material should be sent out of the digital coax output. You should have no need for using the analogue RCA jacks.
With that said, it is odd that the manual tells you to hook up the analogue connectors as well. I suspect, however, it is a mistake, or some kind of fail-safe for lower-end systems.
The most common problem people have with DVD players is not configuriong the digital output of the player for bitstream (vs. PCM) The result is only sending PCM audio out of the player, instead of Dolby Digital or DTS (which sometimes has to be enabled separately).
You successfully got DD, so if you leave the analogue connections off, you should be just fine.
