On most TVs, when you connect the HDMI cable, the TVs expect the audio to come to the TV via HDMI, not the analogue audio (red/white) cables. Since you're using DVI to HDMI and DVI from the STB doesn't send any audio, you need to get the audio to the TV via analogue audio cables, but it doesn't always work, depending on the make/model of the TV.
On some TVs when you use the analogue audio cables the signal is detected automatically, or there is a setting in the HDMI or audio section of the user settings for the TV which allows you to "force" the TV to use the analogue audio cable input associated with that HDMI input, but on some TVs that's not an option at all. So what you're trying to do via HDMI doesn't always work and you need to do as you've done - use component video cables. So the answer is no/yes/maybe, depending on the exact make/model/selection, etc.
On my Sony LCD, it's not an option. I don't know if Samsung offers that option. So this is not a Shaw Direct issue, rather it's a TV issue, so I'll move your thread to the TV section. If you just got the 530, can you change it for the 630 which has HDMI?
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