That's an excellent question regarding if the light should be on. From the manual, it seems like it would turn on for a Pro Logic signal, but I'm not certain. Also, it's possible that the audio signal that you're getting for the shows that you've tried so far are only in stereo. I haven't found information on the internet, yet, that says if DS for Sky HD means that it's always encoded for surround.
So, (1) it's possible that the Yamaha won't light up for Pro Logic, and/or (2) it's possible that the shows that you've tried so far are actually in stereo.
Do you have another component (like a DVD player) that you can connect to the Yamaha via optical? If you do, you might have some video (e.g. DVDs) that have a Pro Logic audio track, which would let you check if the light on the Yamaha comes on for Pro Logic material.