Not sure what you're expecting- you have Component HD and a downconverted SD signal coming out. Neither will go into a MacBook Pro straight without an analog capture device such as a Matrox MXO. I'd recommend investing in a small video production monitor for this purpose instead. Much more suitable- proper color, gamma, etc. MBP is basically useless as a monitoring device. Ingest yes, monitoring no. Marshall makes some really cheap ones.
You can capture directly to Final Cut Pro using just a firewire cable, and this also allows you to get a preview. I don't have my macbook at the moment so I can't tell you the exact settings but it's pretty simple from what I remember.