mike 07,
I basically have the same issue. And like I stated previously you can not get on screen setup menus with video through a component connection. I have S Video from my SAT to the receiver. When I am watching TV (Sat) I can get on screen menus while I am watching TV. This is because I have my receiver set to "Auto" for my video inputs. The receiver is up converting the S Video signal to component video.
However, when I am watching a DVD (which I have connected to my receiver through component connections and I have my Video input for DVD set to "Component", I get no on screen menus with the exception of "System Setup", Surround Parameters" and "On Screen" menus.
If I set my Video input on the Denon to "Auto" for my DVD I can see on screen menus while watching DVDs. BUT... the only reason that I can see these menus is because I also have the DVD player connected to the receiver with S Video and Component Video. If I disconnet my S Video connection (leaving only the component inputs connected) I only see on screen menus in the cases stated in the above paragraph.
Read the note on page 49 of the Denon 3805 manual at the very bottom of the page. It states:
"When a component video signal is input and when the "Video Input Mode" is set to the component fixed mode at input setup, the on-screen display is only displayed when the System Setup , Surround Parameters and On Screen buttons are operated."
Also check out the table on page 100 of the manual.
Hope that answers your questions. Let me know if that clarifys things for you.