I got an iPhone in December and returned it, because what you described did not work. I had many phone conference meetings with phone numbers in the notes section or in the location field. These came from my corporate Exchange server or were created on the iPhone. In all cases I could not dial the phone number. I was told this is an issue with the 2.2 OS. Are you sayign this will be resolve in 3.0?
Sorry, I currently have 3.0GM installed and this feature is currently working in the calendar appointments. I just checked an email that I got from gmail with a phone number in it and I was able to dial it from inside the email as well.