Are you using the correct coax output? Looking at the photo of the rear of the DMP, the coax nearest the center of the player is the one you have to use. The others, like the I2S below them are for rear, and sub/center channel.
Try that, if that is the one you are using, then, it is either some setting in the menus, or the DMP, may need service.
Yes, I did make all the connections as it is supposed to be. It didn’t work.
Actually, the problem was with the Coax cable itself. The Audioquest Coffee cable uses something called DBS (Dielectric Bias System) which was prohibiting the sound to come out for some reason. Without DBS and with other Coax cable it is working fine now.