Hi Attila.
Coincidentally, this is also my first post on Audioholics after a month of lurking and learning. First of all, congratulations on your RX-V2600 purchase! As for me, I'm waiting until I am officially notified that I didn't win the Audioholics giveaway before I put down my own hard-earned money.
I think that your problem is due to the fact that, according to page 42 of the Owners Manual, Pure Direct mode only works with analog and PCM digital sources. On the same page it says that "When a multi-channel signal (Dolby Digital or DTS) is input, this unit automatically switches to the corresponding analog input." Thus, the "analog selected" message. I am guessing that you have not connected the analog RCA L/R audio outputs of the DVD player and 6412 receiver to the V2600, which is why you end up with no sound. The reason that the CD works over the digital connection is that it is a PCM source. Some music DVD's contain both Dolby Digital and PCM audio tracks, selectable from the disc menu. You could select the PCM track in order to use Pure Direct mode with these titles. As far as the 6412 goes, I have the Comcast version and it seems to output all digital audio, including the Music Choice channels, in Dolby Digital. So, in order to engage the Pure Direct mode with the 6412 (or for non-PCM DVD titles), you should theoretically only have to connect the corresponding analog audio outputs to the V2600 in addition to the digital ones.
Good luck, and I hope this helps.
-Sam