That's correct, Classic Games & Application that use native outputs for the most part cannot be displayed though the Graphics Card.
There is a cool tool you can use to promote some native screen modes called NewMode:
http://aminet.net/package/util/cdity/NewMode_V39.lha
Only some Amiga CD titles and later Games/Emulators support RTG, you can read about that in the games manuals normally or readme files.
For WHDLoad Games you need a solution such as a Scan Doubler connected to a Monitor Switch box.
Personally I have an LCD TV with VGA & Scart inputs, and for anything that can't display through VGA I change the channel from PC to AV
Not the best solution, but works for me.