Thanks all for your replies. In short, I've ultimately chosen for connecting also through composite.
Right now, I can watch video content from the WD TV Live, with the sound from either the RX-V471 or the TV set. I'm using the HDMI-port on the RX-V471 for this.
On the other hand, if I (for example) choose a radio station on the WD TV Live (still through HDMI), than switch to the port on the RX-V471 where I've connected the composite, I can still listen to the internet radio once I've shut down the tv. The sound is not as clear as through the HDMI, but my immediate issue (not being able to shut down the tv while keeping the sound through the RX-V471) is now solved.
Whether or not it is illegal, I don't feel comfortable with trying to downgrade the WD TV Live, it works for the better part, so I'd rather don't touch it.
Once again, thanks very much!