Totally agree… I can’t understand why WP still doesn’t have a native support for that.
I’m struggling with this same problem. Searching something about it i found this post of yours. So i will share with you a solution i found that is handling half of the problema until now. I’m almost getting in there.
See this link that helped me:
http://wordpress.stackexchange.com/questions/5308/custom-post-types-taxonomies-and-permalinks
