It is likely because you have an HDMI device hooked up that the component outputs are showing an error. HBO content is HDCP protected and the way that DIRECTV chose to implement it, having an HDCP handshake on one device shuts off the analog connections.
This is absolutely not one of the options for implementing HDCP but that didn't stop DIRECTV. The two choices available (when the content is protected) are to blank the analog ports or downconvert the audio and video coming from the analog ports.
DIRECTV seems to have created their own "option" of permitting analog passing of full resolution protected content if there weren't any HDCP capable devices connected.
Thanks - that explains 90% of the issue. I'll check this out when I next get a chance - probably not before next weekend. If I pull the HDMI cable out of the Sony HDTV, presumably the picture should re-appear on the old Sony fed by the modulator/coax.
The only thing I'm still at a loss to understand is why (when the HDTV is plugged in with its HDMI cable) the old Panasonic still shows the HBO programming, while the old Sony doesn't. The HR23 -> component cables -> component/composite converter -> composite cable -> RF modulator -> coax -> splitter in the home-run chain feeds both old TV's. Surely both TV's running off the coax should show the same thing?