The Hauppage HD PVR is not an all in one solution.
The composite and S-video input is rendered useless by crippling audio drift issues. Do not get this device to record using those types of cables.
Component works, which is good, because otherwise it would have been completely useless.
As for the A/V loop through, it's a nice feature, but you're better off getting a component switch box with multiple outputs (If you can afford one). It's much more practical, as you won't have to swap cables all the time.
It's not worth getting this device at the price it's going for. You're better off getting something that can actually do all it advertises.