Some devices with digital outputs do not gurantee that all the signals it can produce will come out the digital port.
For example: some Digital Cable box's have both analog and digital outputs. But only some channels, usually above 100, send sound out the digital port. When the users pick a lower station to watch, the sound cuts out unless they also have analog connections hooked up, and the receiver is set to "auto-detect" the switch.
Have you heard of the new super-audio and HDCD players? If you pop in a regular CD, it comes out the digital port. Pop in a DVD, it comes out the digital port. Pop in a SACD - the high-resolution sound only comes out the analog ports.
So I think thats why they recommend hooking up both analog and digital outputs.
The key words here are 'whenever possible'. I don't have any technical explanation for it but DON'T have all the connection to my TX-DS939 this way both for simplicity & lack of cables when I first started out (~5 yrs ago). My HT has been running flawlessly since then.