I've heard of people trying the older A/V cable and it not working with the HD. I think it only works with the A/V Dock. I think one reason is that you don't have a way to control it or go through the menus without the remote. Remember it relies on the touch screen. I'm in the same boat, I'm saving for a dock.
Just to be sure though, try it on another tv with selectable inputs. I haven't tried it myself but I have heard from others saying that it doesn't work without the A/V Dock.
Hope this helps
One more side note. Just to clarify, the dock isn't just for HD output. It does HD through the HDMI out but also does SD out through an A/V cable such as the one you have which also plugs into the back of the dock.