Even though the JACKS are colored RGB, Component Video is *NOT* RGB. Component Video is YPbPr.
In other words, it’s not outputting Red / Green / Blue video. It’s outputting Luminance and Chrominance.
VGA video, on the other hand, *is* analog RGB.
The WDTV is sending YPbPr, and your monitor is expecting RGB.
I can’t remember off the top of my head of the WDTV allows changing the colorspace on Component from YPbPr to RGB like it can with HDMI.
If the WDTV doesn’t allow that change, and your monitor cannot be set up to accept YPbPr on VGA port, then a simple, passive “Component to VGA” cable is not going to make that conversion. You’ll need an active converter, something more like this:
(Not a recommendation, just an illustration.)