You're right. All movies go in the movies category, be they on DVD, HD-DVD, Blu-Ray, Laser Disc, VHS, or on your hard drive somewhere.
Insofar as HD-DVD was not around when the formats for Delicious Library were written, there's no special treatment. They just look like DVDs.
I don't actually know what an HD-DVD case looks like, so I suppose that's on the list of formats to look at and add before we release Delicious Library 2.