My AVR is model AVR-X550NT
Which HDMI port do you have sky plugged into? If it isn't, ensure it is plugged into the cab/sat port (hdmi 3) as that is 4k.
I also assume that you are changing the source on the Denon when wanting to use sky for sound? Only other thing I can think of is playing with the TV audio switching function within settings on the Denon.
Otherwise I can't think why audio would play on dvd but not sky through the AVR speakers. Maybe try switching the dvd and sky connections and see if you get sound from the speakers then?
Only other thing is if it is a setting within the TV sound output settings.