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If you won't be passing any audio from the TV to the Onkyo except that from the Dish receiver, then there's no reason not to just connect the Dish receiver directly to the Onkyo. If you will be passing other audio from the TV (e.g. you watch some over-the-air broadcasts), then you might want to keep it connected the way you have it now.
Some TVs will pass audio from the Dish receiver to the Onkyo without any problems, and if yours will, then that's probably most convenient to just keep it hooked up like you have it. I say that because then you wouldn't need to switch inputs on the Onkyo to listen to the Dish receiver versus over-the-air broadcasts. However, if your TV won't pass the audio, well then it would be the best (and only) option to hook the Dish receiver audio directly to the Onkyo.
Adam