I agree this is frustrating. Here is one thing that is really maddening. In my contacts list, this entry works:
(800)555-1234,123456#
But, if I put it in a calendar entry, and then tap on it, iPhone asks me if I want to call then number, and when I choose "yes," IT DOES ABSOLUTELY NOTHING.
I have several telcon conference lines that I use in my business. Being able to put the dial-in credentials to those lines should be child's play for the iPhone. It is embarrassing that all the telcon services even tell their users how to do so, but that their instructions work with most phones except the iPhone.
BTW, I tried the suggestion of downloading Join the Call. So far, it is easily worth the $.99. Good work. Still, we shouldn't need that, and it is no knock on the developer to tell Apple that this app should be unnecessary.