As you are aware, commercial laser machines (at least in our price range) do not run Gcode as standard (the FSE lasers may be an exception if you are bold enough to buy from them) so you are pretty much limited to the Chinese software and CorelDraw.
If you do decide to tear out the controller in favour of Gcode then perhaps browse through this thread
http://www.machsupport.com/forum/index.php/topic,12444.0.html (as it has become very long I suggest you scroll through looking for the images then only read those posts which may be relevant to your requirements).
As for greyscale engraving, Art has developed a plugin with Arduino for Mach4 but so far he is, I think, the only one who has got it to work at this moment in time.
Mach3 already has an engraving plugin, which I find is excellent but not everyone has found it easy to use. The mach3 pluging will only work with the parallel port so external motion controller’s are not supported at this time.
A 40Watt CO2 laser has plenty of power to work with Cermark / Thermark / etc. so no problems there (other than the cost of the compound).
Hope this answers some of your questions.
Tweakie.