No, for a couple of reasons. First of all, just like any type of recording, you want the shortest distance possible between the source and your recorder, as everything in your signal path has the opportunity (and tendency) to "add" to the original signal - and by "add", I mean signal noise.
Secondly, even if the component connections offered a pristine, non-noise-added signal transfer, the original capture still can only be made with the LD player's best output - which would be the composite video anyways.
Best case, you would simply get the same composite video from the D-VHS that you would have gotten from the LD player in the first place - making it redundant and unnecessary.
Worst (and most likely) case, you would get the composite video as well as some "added colorization" that would be inherent in the video processing of the D-VHS player (and this is a quality of all audio/video components - nothing has a "pure" signal path.)