Unlike audio settings for other devices, settings for the HD PVR are selected in the EyeTV Setup Assistant, rather than the Devices section of the EyeTV Preferences.
Re-run the Setup Assistant until you get to the screen shown in the image below, and select the S/PDIF Optical audio setting.
You should be able to continue to the next screen and then quit the
Setup Assistant rather than going through the entire setup, and the
S/PDIF selection should be remembered.