As far as needing the OSD beyond the speaker/eq set up, you really don't, but for doing the autoeq set up and everything, I would definately hook up your display to the 3806 somehow (component video is how I'm doing mine as I don't have HDMI in's on my monitor either). Once you play around with all the settings and get it like you want, the need to use the OSD regularly just isn't there.
Remote ? for all 3806 users...
When you use the remote for the 3806, it lights up and on mine, there's a slight hum/noise if you hold it near your ear while it's illuminated. Does yours do that too? Just want to make sure I don't have a bum remote. You don't hear it unless you hold the remote near your ear. Odd question, but just had to ask.