Yes, the on-screen display is showing you what is comming in to the TV, not what the TV changes it to. The TV upconverts EVERYTHING to 1080p so there is no reason to display that.
The TV displays only one resolution - 1080p - and upconverts everything to 1080p. This includes 480i and 480p. The only signal that is not up
Your source device is sending 720p if that is what is on the display. Satelite receivers, like cable boxes, can be set to output one resolution, and if needed, convert to that one resolution.
However, boxes often can be set to output "native" which is the origianl resoultion the broadcaster sent to the satellite or cable company and woul mean the output changes as you change channels.
ABC, FOX, ESPN are all channels that are 720p. CBS and NBC are normally 1080i originally.
Other HD channels can be either.