Hi Cate,
It may not necessarily be entirely Phase One's fault - I don't know about Canons but, as I understand it, Nikon's SDK simply does not allow images to be saved on the card simultaneously while tethering, at least for my D3X. Their SDK also seems to have a number of other restrictions which limit what tethered functionality C1 is able to provide.
If you use C1's Import Images function you can set an automatic backup folder at import, but I don't think there's any way of doing that directly while tethered.
If you're looking for a cheap but highly functional tethering program, you could take a look at ControlMyCanon and see if that does what you need; they've just updated ControlMyNikon from v4.3 to v5.0, so presumably the Canon version will follow suit before too long. You can set a Hot Folder in C1 to pick up tethered images from a 3rd-party program automatically, though you lose some of the workflow advantages of tethering directly into C1 if you do it that way.
Hope that's of some help anyway.
Malcolm