The volume and other "pop-up" info only works with inputs that use composite or s-video. Those pop-ups will persist when the composite and s-video inputs are transcoded to component.

Your old receiver was probably also able to pop data like that up onto the composite and s-video inputs, but it's basically unheard of for data like that to be overlayed onto component inputs (I can't think of any surround processor that will do it, although someone out there may know of one).