The projector can take 480i, 480p, 720p, and 1080i on the component video input without issue. So, it screams to me as being something that is cable or hardware related outside the projector.
No, you don't have to change any settings in the projector to make this happen.
If there is a setting in the Wii for component video... then that's something I'm unaware of since I don't own one.