There is marked improvement. An HD signal, even downrezed to 480i, still looks pretty damn good compared to a standard definition signal. I've seen it first hand, and upgrading to component will give you some improvement in color saturation.
In fact, I did almost exactly the same thing for about 2 years: HD DVR outputing 480i to a 27" CRT display over component video. I finally upgraded to an HD display about 6 months ago.
In fact, I did almost exactly the same thing for about 2 years: HD DVR outputing 480i to a 27" CRT display over component video. I finally upgraded to an HD display about 6 months ago.