Hmmm... perhaps Toshiba released this dvd in a few versions, perhaps with updated firmware as PAL component isn't available on mine. One thing, you didn't mention whether the Tosh actually gave you a visual confirmation (via the LED display) that you'd switched to component - like it does when you PAL/NTSC switch
As for progressive scan via the TV... that's not entirely correct. Your source (dvd, ps2, xbox etc.) has to provide a "progressive scan" image for the tv to display. The TV will certainly do some scaling and clever processing but it won't be progressive scan per-se.. sorry, but you'll need to get a progressive scan/upscaling dvd player to get enable those image enhancements..
Having said that, the HD43SK doesn't give a bad little image and if you're happy then that's the main thing.