Works with my voip provider (Ooma), should work with vonage. The 'phone' output of the voip providers I've used over the years (callvantage, vonage, sunrocket, ooma) provides caller ID. If you split that to the phone and the directv receivers, they should all get the caller ID like I do. A wireless phone jack that supports the transmission of caller ID should work as well.
The particular model wireless jack you linked to says "N" next to caller identification, so that one doesnt appear to send the caller ID info. I have a Phonex unit that looks similar to the one you pointed to, and it supports caller ID. There are generally a couple of grades of these...one that will extend the phone line and allow calls, but thats it, one that extends for calls and includes in and out of band phone features, and the ones that support calls, features and data/fax/modem connections. The latter is sometimes a few dollars more expensive, but worth it for the flexibility.
This one doesnt say caller ID in the specs, but some of the reviewers say it works.
[ame="http://www.amazon.com/Easy-Jack-Wireless-Extension-Voice/dp/tech-data/B000MRN0LM/ref=de_a_smtd"]Amazon.com: Phonex Wireless Web Jack System (PX-211D): Electronics@@AMEPARAM@@http://ecx.images-amazon.com/images/I/21qtE4qSGdL.@@AMEPARAM@@21qtE4qSGdL[/ame]