Frank,
Do you have the outputs of the receiver going into your TV strictly via component, or do you have a composite or s-video connection in place as well? There is some tricky info at the back of the manual about setup displays it provides when on component.
What it doesn't have is any useful information on what 'video conversion' means. Does it convert everything to 480p, 720p, 1080i, or just component with no video change? (480i over component) What format are the on-screen menus in from the component output? I would guess that they may just be 480i.
If that's the case, and your TV doesn't accept anything but 480p and 1080i on the component input, then you must use your s-video or composite video input on your TV to do your audio setup with on screen displays.
I have a beef with any television that can't accept 480i, 480p, 720p, and 1080i on component inputs. You most definitely are losing out when you can't see all ATSC standard material via component cables.