I have noticed this kind of discrepancy between black levels before, lately on Samsung satellite receivers that output both component and composite video at the same time.

I would not be too worried about it, but rather look at this situation as requiring setup of black level (and other picture details) for each type of signal. If your display device is a Sony TV, though, you might have a problem: the Picture setting might not change when you change inputs. I have seen projectors where each input has its own setup.

In fact, maybe the DVI signal is correct and your previous signal is incorrect. Your projector has been adjusted to look good with the component signal, and since the DVI signal is different, it looks different. Whoops! What about different setups for different inputs? Could it be that the DVI image simply needs setup, and its factory settings are not the best?

Try this: turn the Brightness way up on the component input, then switch to the DVI input and see if the Brightness is way up. If it is, then all your inputs will be affected by the way you set up one of the inputs. Maybe you can store presets in memories.