I don't know this for certain, but here's my thoughts:
When you are listening to the radio, the station sends the song title/artist data to your radio player which then displays it. When listening to a CD at home on your PC, the CD player software usually asks to query the CDDB which is an online database of song title/artist/album information. The CD player in your car can't "ask" for the CD info like you could at home, because there is no way to send outgoing data. I know what your thinking, why can't they host the CDDB in a ROM chip or something similar right in the car CD player. Well, that data would have no way of getting updated with new CD information and wouldn't be able to display CD info for new releases.
One day, when we have wireless data links in all of our cars, this may be possible.