Yes, the phone does get CID when directly connected to PSTN. In fact, I've tinkered a bit since posting and found that usually the CID is there AFTER I answer the phone, but I can never see it before I answer. I'll tinker with the delay a bit and see if that helps.
As for the VM waiting on the PSTN, I understand exactly what you're saying. I guess the GV just passes that info differently as I do get a visual indication on the phone when I have VM on GV.