SCART has RGB connections, in fact that one of the main reasons SCART was designed. It allows RGB to be overlaid onto the main image - in exactly the same way as Teletext subtitles are displayed.
Many of the cheaper SCART cables don't have the internal cables/connections needed for RGB and you get either composite or (if your lucky) SVIDEO, both of which look poor in comparison.
A good quality fully wired SCART cable will give you a picture that is indistinguishable to using component cables.
The only real difference with individual cables is they get individual shields rather than a common shield in a scart cable.
RGB signals are carried in SCART cables using individually screen cables.
More here: http://en.wikipedia.org/wiki/SCART