I upgraded last week, tried native mode and it does seem slower. This is probably because either the HR21 or TV (or both) are having to switch between resolutions.
I received my HR21 last week and connected to my TV via HDMI. The cable can easily pop-out as there is no way to lock it in place. I will probably switch to component if it becomes an issue.
However it is nice to have everything going over 1 cable rather than 4.
I currently have the R-15 and I believe you are referring to the "Keep No. of Episodes" option. You can keep 1,2,3,4,5, or all episodes or the series. There is also the option to record only first run episodes or all.
Hitting exit isn't that hard but I believe they are looking to turn off the ff progress bar all together & not just have it disappear after ff is complete.