First off, that looks like the pile of cheap converters that *I* went through, before I figured out that they were all bad. Genuine USB 3 *connector*, but the extra pins for USB 3 are not connected. It's really a USB 2 device, despite the connector and all the hype that went along with that. (blatantly deceptive, like I said above) That leads directly to other problems because it can't cram decent video through USB 2...
Second, using a Component cable is in fact better than Composite, but it allows your exact issue to happen. Component (and S-Video too) separates the brightness and two color differences into those three separate connectors. If you only connect the brightness and not the colors, then you get black and white.
It's also confusing to have two red connectors. One is audio and the other is part of the picture...
What connectors does the PS2 itself have? With all the stuff you've got in between (assuming that you're using all of what you pictured, at the same time), I wonder if you're making this too complicated in the first place?