It does seem likely that you would need an HDMI connection to allow the receiver to decode the HD signals or simply use analog connections and allow the player to do the decoding.
The indicators on the left side of the display, at least in previous models, only indicate what decoders are being used and what the receiver is outputting. Not necessarily what it is receiving.
Strange but that model isn't even listed on Yamaha's website yet, so it's impossible to check the manual and tell what it's internal decoding capabilties are.