No modification is necessary, just the right cable for your Saturn.
I do agree, though, that S-Video is already a great step up from composite video (the frizzle along edges when many colors are on screen completely vanishes).
The thing about RGB/SCART cables (which seem to pop up on eBay now and then) is that they're intended for European TVs. That has nothing to do with the PAL (50Hz) vs. NTSC (60Hz) issue, but with the actual connector on the TV end of the cable... You would have to hack it to get your video monitor/RGB-capable TV hooked up.
If you're thinking about hooking a Saturn up to a TV with *component* video (used for DVD players, uses 3 RCA jacks), don't even ask me.....