In order to get the full benefits of the (normal) payment protocol, does the Trezor itself need to understand it, or can the host computer (even possibly infected) do so an reliably pass the payment information to the Trezor? I'm thinking it wouldn't be useful to the Trezor since it can't independently grab and verify the X509 certificate. Is that correct?
The payment protocol was designed with Trezor in mind - it embeds the X.509 chain into the payment request itself. The host device streams the entire request to the device which can then verify all the signatures itself.
But then this is a non issue since he can already withdraw to any address he wishes. I mean if that's the case I don't even understand what threat we are talking about anymore. In case you didn't notice, I work for an exchange and we don't have problems with people getting their Bitcoin addresses swapped right under their noses, we do have a problem when occasionally users get their account access information compromised and an attacker logs into their account robbing them, something 2FA and now email confirmation deal with very effectively.
Obviously in a world in which exchanges sell Trezor's, you would not be able to withdraw to any address you want. It'd have to be a Trezor address.
You can still generate your own private key. All that is required is that the Trezor has its own certificate signed by the manufacturer, and that this cert chain was snapshotted by the exchange prior to shipping. You can generate or provide your own seed after receiving it, no problem. When the Trezor takes part in the reverse payment protocol it simply provides its certificate chain proving that it contains the private key for the address in question.
I'm sure that currently you don't have such problems. Currently we don't seem to have problems with local encrypted wallets getting stolen either, even though we've known since the feature was first shipped that all it does is raise the bar. But we
will have these problems sooner or later. As the amount of money in the Bitcoin community gets higher and higher, even 2-factor authentication as practiced today won't be sufficient. We know this without a doubt because banks already experience such attacks on a routine basis.
Trezor and the payment protocol are long term, high-difficulty projects that the community is putting in place because we know what's coming.