Go to "Passthrough output device" setting and switch to the correct port.
Unfortunately, not as easy as that. Passthrough generally speaking works, just not for the audio formats I mentioned.
I have selected the passthrough output device where the Denon amplifier is shown as connected (ALSA: HDA Intel PCH, DON DENON-AVR on DisplayPort #0) and enabled passthrough of all the listed formats. (AC3, E-AC3, DTS, TrueHD, DTS-HD). Dolby Digital and DTS passthrough works just fine. Passthrough of TrueHD and DTS-HD does not. If I press the "Info" button on the Denon remote during playback of TrueHD or DTS-HD the signal is shown as "Unknown".
I'm guessing the reason for the amplifier being listed as connected to "DisplayPort #0" is the protocol conversion. The block diagram for NUC11PAHi5 shows HDMI 2.0b -> PCON -> DP1.4 -> Tiger Lake UP3 (1135G7 with Iris Xe).
Then there's the problem with AAC 5.1 which isn't related to passthrough. If I play content with AAC 2.0 the Denon identifies it as 2-channel PCM and I get sound. Playback of content with AAC 5.1 results in "Signal: Unknown" and no sound.
Doing the same tests with my old NUC (with a gen 3 i3 CPU) everything works as expected. Passthrough of TrueHD/DTS-HD works and AAC 5.1 is received as 5.1-channel PCM. Same version of LE (10.0.1) in both NUCs, same settings, everything downstream from the NUCs is the same.