I was (am) looking for the same thing. If you turn off consult transfer (transfer-system full-consult) by making it it blind transfer transfer-system blind) it will show the original caller ID, but you lose the consult part--the person doing the transfer won't be able to speak to the other person first to see if they want to take the call, etc.
The same behavior is seen in regular CallManager. I guess the idea is that the person doing the consult transfer *IS* the one calling the destination party.
After you complete the consult transfer (pressing transfer the second time) the person will see the outside caller's callerID in CCM and CCME.
Tried playing with loopback DNs with "caller-id passthrough" to no avail. I don't know if I was doing it right or it just doesn't work.