The volume level relates only to the TV's internal speakers. The output level (via Optical) is fixed, so there's no reason for the TV to display a volume bar on screen for something that will never change. The Playbar is taking the signal and allowing you to change the volume. The TV doesn't 'know' or 'care' what happens to the sound once it leaves the Optical socket. So, no. There's no way to have the TV display the volume bar icon. Use your phone/tablet app. It shows the volume setting on your smartphone/tablet.
If your TV is set to output audio as (at a guess) Auto, then it will/should pass Dolby Digital from Sky (again, you need to set the Sky menu to DD). Is your DVD player hooked up to the TV via HDMI? If so, adjust the menu settings to for audio out to Bitstream. Most DVDs have Dolby Digital audio either as the default choice or selectable from the disc menu. Those films that have DTS sound will often have a DD option too. Again, select this from the DVD disc menu. Occasionally you'll find DVDs with just basic stereo or Pro-Logic surround. That will go through to the sound bar "as is". That's fine.
If you meant 'DVD' as in Blu-ray, then set the player's set-up menu to output Bitstream too. The TV and BD player will talk to each other via the HDMI handshake and should sort out their own settings from there. Come back to us here if that's not the case.