For those of you wondering, I figured this out on the Cisco SPAXXX

First set the SIP parameter like this:
<Caller_ID_Header group="SIP/SIP_Parameters">RPID-FROM</Caller_ID_Header>

Then for each extension set this:

<SIP_Remote-Party-ID_1_ group="Ext_1/SIP_Settings">Yes</SIP_Remote-Party-ID_1_>

Now the Cisco sends the extension name instead of 'Anonymous'