I couldn't tell exactly what that VGA-looking port was for. Sometimes they are for game controllers, but the description didn't make it sound like it was for that. It might say in the instruction manual.
Regarding running video through the Onkyo, I don't see a lot of value to that if you don't need to - but you might need to. If I understand your descriptions, you only have an S-video output left to run to your display, but your display doesn't have an S-video input. Therefore, you would need to convert the S-video into another form. If that's the case, and you have questions, I'll look further into your Onkyo receiver. It may be able to convert S-video to HDMI, and that may be of use to you.