If you are capturing SD, then it won't be possible to capture into DNxHD. SD will be captured into uncompressed 10bit.
I'm really not sure why you are getting no audio. I have tried to perform the same test, using the same settings on the HyperDeck, and importing into Media Composer using AMA. But I do get audio. There may be some differences in my workflow that might make a difference, I used Media Composer on Mac for example. Maybe something is different if you are using Windows. I would suggest checking if the audio works on a different system. If the audio is there on the HyperDeck, I can't see any reason it would not play on a computer.
If you're still not getting audio however, I think this will be quite difficult to troubleshoot here. I would really suggest giving support a call using the numbers on the following page.
http://www.blackmagicdesign.com/company/