I wouldn't expect there to be an appreciable difference between HDMI-to-component and HDMI-to-HDMI connections.

The question with Blu-ray is somewhat dependent on the specific player. For any decent BD player and a Blu-ray disc, the differences are probably negligible comparing HDMI output via HDFury2 to component output - the HDFury2 isn't going to be a benefit, but odds are that it won't be a particular detriment either. It would be with DVD's that the situation changes: you can't scale DVD output to HD when you are using component output, so the best you get from the player via component is 480p. If the player has a really good deinterlacer and scaler (like the OPPO BDP-83), you may want to make use of its video processing. That's where the HDFury2 would be useful.

There is firmware available for the 970HD that will let you scale DVD's to 720p or 1080i via the component output. Because of that, I wouldn't bother pairing the 970HD with an HDFury2. Use that hacked firmware and let the player scale via component output.