The culprit is definitely the monitor inputs. When I use the 480i/480p input it displays with component. Can't leave it that way as I need the 720p as it supports the native resolution of my DLP monitor.
The short message volume, etc. do not display unless you are in Svideo or composite mode. What a load of BS. Something that should have been pointed out and explained in the review. The receiver got a full 50 points for component OSD support. I might have given it half that.
I apologize in advance to Yamaha and the reviewers if I am off base here but I cannot think of any other solution. Even if my component input supported everything from 480i to 1080p the volume, etc would never show. That bites!