Are you using "Source Direct" or "Pure Direct" with the CD input? Pure Direct appears to disable the video section entirely, and would create the condition you are reporting. Source Direct appears to leave the video circuits available.
If that doesn't do the trick, it is possible that the SR5005's audio-only inputs (possibly just the CD input) behaves differently with video switching. You could use a different input (Game, VCR, or TV, for example) and connect the stereo analog cables to that input's left/right analog audio. Then it looks like you could select that input, go into the setup menu, pick "Input Setup", pick "Video", and change "Video Select" to be the input that the O!Play's HDMI cable is connected to (BD or DVD - not sure which you used for that). That should (if I'm reading the manual right) tell the SR5005 to use that other input's video signal any time this input is selected.