Yes, one would generally have to switch inputs to compensate for the analog audio not being converted to digital. But my receiver (and others) have an autosensing input with a preference towards digital, so it it wasn't a real inconvenience to me.
I had TimeWarner digital cable in Austin, TX (2 years ago), and I had a box that had Dolby Digital out (coaxial) and S-video out. Now I have AT&T digital cable in Richmond, VA. In the past week I inquired about upgrading my bare bones box, and I went to the office and traded up to a box that...