Edwyn, if you're referring to the analog Line Out, then the volume control does affect that output. If that output is used to feed an external audio system, Brennan recommends turning the volume up to 60. It is the digital outputs that are not affected by the volume control.
If "Audio on HDMI (TV)" is enabled from the WebUI, it will mute the analog Line Output. With newer versions of software that have that feature, I suspect that analog Line Out would be muted even on older units that might not have an HDMI output. When that box is unchecked, analog Line Out will be active again.
Richard, did you check for sound on the Line Output if you plug headphones into it?
Another thing to check would be how the Denon receiver is setup for the input on the selected source channel. Many modern receivers have a way to select among different inputs for a selected source.