The ability to output simultaneously from the HDMI and component video/analog audio jacks varies from cable box to cable box. On your box it may not be possible as there is a note in the
4250HD users manual saying that you should not use the component video outputs if you use the HDMI output. It's possible that this is just a recommendation of what to do, in order to avoid confusion (and get the best results), or it's possible that they put this note in there because the box does not support concurrent output over both video connectors.
I think it will probably work fine to use both - HDMI to the receiver and component video/analog audio to the TV - but you should test it out and see what happens. If you can, drop a note in the forum and let us know how you make out as it may help out the next person trying to do the same thing.
-CB