You sound like everything is setup properly... Except the last bit.
When you have cable running into the TV, then audio AND video is inside the TV. If your TV has an audio output, then that needs to go into your 2500 and you need to switch your 2500 to the analog TV input when you watch analog TV and switch to the digital TV/HDTV input when you are watching the non-analog channels.
It sounds like you are hooking up the cable correctly to your TV but wondering why it is that when you are listening to your cable box (set top box) and watching the TVs analog video, the two don't match up... Well, because they are separate items.
The better your TV, the worse analog and digital channels will look. It sucks, but it is something people learn eventually. TV has always looked that bad, now you actually notice it.