It seems like component stanzas are ignored in general prosody filters.
E.g using mod_stanzadebug doesn't catch component stanzas, registering "stanzas/in" and "stanzas/out".
So the issue is that mod_component doesn't use "filters" at all, which is a mechanism for running things trough a set of callbacks.
Filters were introduced in 0.8.0.
Packet capture with e.g. wireshark would work in the mean time to inspect traffic over component connections.