First of all, is the IR blaster really necessary?
No, it is not necessary. It is only necessary if you need the ability to control the DVR through the Slingplayer.
Alternatively, is there any way for a direct connection from the Slingbox directly to the HR21-100 DirecTV DVR?
IR blaster pointed at the set-top box IR port for control. Audio and video cables for audio and video. Its pretty standard.
Secondly, if I run component/digital audio cables, is it better to go directly from the Slingbox to the TV or should I incorporate my Onkyo receiver into the mix.
That's really up to you, if you're an audio/videophile then you should know that the more times you daisy chain the more resistance you add to the line.