There may be a number of reasons why you get that. #1 being not everything is broadcast in 5.1. The fact that you do get some things in 5.1 means your TV will pass through the appropriate signal to get audio higher than stereo only, which some TVs don't do. The one advantage of the way you have it connected now is that you can have audio on the TV without having the receiver on, however you can also have a digital audio (optical, coaxial) from the devices directly to the receiver for audio, though from an audio standpoint, I don't see an advantage in that method over what you have for most of your devices.
The drawback with that setup would be that for Blu-ray, you are missing out on the higher audio formats offered by BD. If your receiver has multichannel analog inputs and your player also has those outputs, you should connect the blu-ray that way to get DTS HD and Dolby Digital HD. If not, then your next receiver should (practically all of them do) have HDMI. Other than that, you should be OK.