The absolutely only way that the CID information can be recorded to the DVR is if your DVR is not actually the receiver that is decoding the satellite stream. I.e. you have a Tivo pluged into the video out jacks of your Dish receiver and are recording that stream
If you take the video out of any of the receivers, the callerid info is displayed, as that is the same stream that is sent to your television.
The CID data is not sent down the satellite stream, and since that's what is stored on the HD inside the Dish DVR's, you don't get the CID info.
Think about this for a minute folks and use some logic.