Regarding .NET* JITing, I would guess that the callgraph times do not include the time required to JIT the function. This is because we get notified by the CLR when the function is called, not when it is JIT'd. Of course, it really depends on Microsoft*'s implementation, but that would be my guess.
As far as the "selected set of assemblies" question, I don't know. Have you tried modifying the callgraph configuration and seeing if it gives you access to this level of detail? Again, however, this may be dependent on Microsoft's implementation.