Yes, you should get the OSD menu on composite.

I searched the manual and found the passage cited by CI, because the idea of composite output only offering the menu if the input is not composite seemed just too weird. Context is important... Page 10 discusses the on screen display. If you connect a source with both composite and s-video cables, only the s-video input will get the OSD. And since both are connected, presumably there is no s-video to composite cross-conversion, so when on that input the composite monitor out will not get OSD data. If all of your sources use either one or the other (not both), then you should always get OSD on both the composite and s-video monitor outputs.