To answer your last question first, the 'dp' may not be connected up on the DE2-115 board - I don't remember off hand but that's certainly the case for some Dev boards. This may explain why it's missing from the pinout.
As for the code - use 'a_to_g' as an intermediate signal. Create a new output that feeds the display. Assuming 'SEL' is one bit of your previously mentioned 'SSEG' signal, use it in a different way, with a conditional statement to determine what to do:
if SEL = '1' then
a_to_g_to_display <= a_to_g;
else
a_to_g_to_display <= "1111111"; -- your code reminds me these display segments are ON when pin is driven LOW
end if;
Place the above code in a combinatorial process triggered by 'SEL' & 'a_to_g'.
I can't comment on the 'SW', 'an' or 'LD0' signals - it's not clear what they're for...
Cheers,
Alex