At some point, the digital audio stream needs to be converted to analog. You can do that conversion in any component that has a DAC (digital to analog converter). That can be in the source player (e.g. the Sony CD player), in a receiver (or preamp), in an outboard DAC, or in another component.
If the Sony has a DAC that's better than your receiver's (for example) DAC by a big enough margin that you can actually tell, then it's possible that using an analog connection between the Sony and your receiver would actually sound better to you than a digital connection from the BD player. Nowadays, DACs are pretty darn good even in lower end receivers, though.
So, depending on your friend's experiences, it's completely possible that connecting with the analog cables gave him the best overall sound in his system. You may or may not think that. You can always try it and find out.