I'll try to answer myself with that one, correct me if i'm wrong.
LCDs have a "native" resolution, for instance, the Sharp LC-37D43U have a resolution of 1366*768, which means 720p. When a device send a 480i/480p signal, the resolution is lower than the native one so the image quality suffers a bit from that.
Same thing with LCD monitors, a 19" LCD with a 1280*1024 native resolution, is you play a game and set the res to 1024*768 you'll get a "poor" image quality compared to 1280*1024.
So, I guess i'll just have to get used to it until I buy a 360 or PS3 or the Wii update itself to support 720p.