Not quite, Andy. The chipset integrated LAN stuff that feeds the CNR slot is a MAC only (the LAN engine). The CNR riser has the PHYsical interface chip, transformer and of course RJ45.
Same with CNR or AMR modems - the data pump is in the chipset, the physical interface codec and line interface stuff is on the riser card.
You're right about the PCI bandwidth usage thing though

and yes, chipset integrated LAN is no worse in CPU usage than PCI LAN, and since it's on a fast chipset internal bus, bus bandwidth usage is lower.
Yes, AMR or CNR modems are CPU driven softmodems - but given the speed of today's CPUs, noone will notice. The only thing one does notice is the high roundtrip delay aka "ping latency".
regards, Peter