XSI has two families of shaders:
- mr shaders, for traditional rendering.
- realtime shaders (OpenGL, DirectX and CG), for viewport display and game engines.
Don't worry about mr's integration. When you pick up a shader from list of shaders, it's a shader made for mr. No special setting to fine-tune or so. Several nice features of mr are not exposed, but you have access to them through command line rendering (ie mi2 file rendering).
I don't know exactly about CG shaders. My impression is that beyond the library of CG shaders provided by Softimage that you can install, everything else is up to you.
Cheers
Bernard