How to connect S/PDIF on XPS L701X?

S/PDIF OUT on the laptop: 3.5mm coax DIGITAL or OPTICAL signal output ???

Toslink is optical. The laptop has a Toslink port. Coax is copper wire. So to connect to the Cambridge speakers you need a device or adapter to convert Toslink to coax. You can google Toslink to coaxial adapter. You need an optical cable to go from the laptop to the Toslink to coaxial adapter. If the Toslink to coaxial adapter has a standard size port then you will need a  mini-TOSLINK adapter, or a cable with a mini on one end and standard size on the other. Here is a picture of a mini-TOSLINK adapter:

The s/pif ports on the L701x and L702x are the same.

Hello Gonzalo. I can't say if the specific equipment pictured is exactly what you need, but it looks right except that the mini-Toslink adapter seems to be unnecessary with the cable in the picture, which already has a mini on one end.

After all, a lot easier to connect via analog

Yes. Those speakers were designed for use with a desktop computer, back in the days when desktops computers had real sound cards (cards that fit into a slot inside the computer case) with co-axial s/pdif ports. These days most or all "sound cards" have optical s/pdif.

and I really doubt I'd hear any difference into 2.1-channel.

There might not be any difference to hear anyway. There is really no such thing as a digital speaker. Audio can be in digital form, but human ears cannot hear digital, only analog, so speakers have to be analog. At some point the digital audio signal has to be converted into an analog signal before it gets to the speaker cones. This can be done either in the computer or inside the speaker enclosure. If it is done within the enclosure then the speakers are called "digital speakers", even though the actual speaker cones are analog.

The device that converts digital to analog is known as a DAC. The DAC in your computer is made by Realtel, and the DAC in your Cambridge speakers was made by Creative Labs. Both of those companies make consumer level audio gear. The Creative Labs DAC is not necessarily better than the Realtek DAC.

For 5.1 surround sound I'd have to be connected via S/PDIF.

If you had a set of 5.1 speakers, it would depend on the speakers. Most of the 5.1 speaker systems I have seen do not have the DAC in the systems, so for those you would connect to the 3 analog jacks on your laptop. You reconfigure the Realtek settings for 5.1 surround and then the mic jack becomes a speaker jack. Each jack puts out 2 channels of audio for a total of 6 channels -- which is 5.1.

On the other hand, if you have something like a "home theater" surround system that has a DAC,  you would send the digital audio signal via s/pdif  (s/dif is only 2 channels but the rest of the surround channels are encoded within the 2 channels. The surround system both does the digital-to-analog conversion and also decodes the surround channels.)