This system is an upgrade from an AE100 connected to a number of different dvd players over the years, all of which fed the pj via the amp to a PRO-V on through a d-sub connector. only ever used component once with a Lecson dvd which didn't impress me.
Sky went in through an RGB to S-VIDEO converter then to the amp etc. Too much processing ruined the picture though. Now with the AE500 i'm using a high quality scart direct to the pj, this has improved the quality, shame about the content, but the footy is ok.
If you can, go with the DVI.