You're correct, Phil. For full bass managment features available from the 2910, you will need a set of analog cables from the multichannel out on the Denon to the multichannel in on the Yamaha. These will have no bearing on your optical connection from the Denon to the Yamaha.
According to the Audioholic's review
here, the 2910 has "Bass Management available for all formats on the HDMI output (except SACD)", this would lead me to believe the analog cables would be required for full multichannel format compatibility. You may want to check out this review for further details on this player if you haven't yet.
In regards to your speaker size question, the settings you've defined in the receiver won't apply to the multichannel settings, this is handled as part of the bass management features of the 2910. Because of the nature of the pure analog signal, the receiver cannot do bass management and this needs to be configured in the BM portion of the Denon. You would configure your speakers much in the same manner in the BM section of the Denon as you have in the Yamaha's speaker configuration... -TD