Cox can "see" the MAC address of your modem because Cox needs this MAC address to assign a public IP address. As far as devices on your private network, no...Cox can't see those private IP or MAC addresses.
I don't think Cox can see the private IP of your router. I once read an ISP can only see something (i.e. router) is connected to the WAN port of the modem. Therefore, I think Cox can only see something is connected and possibly its capability (Fast Ethernet, GigaE, etc).
If you subscribe to a VPN, yes, Cox can see your public IP address but cannot see where you're going or what you're sending. All they see is their assigned-public IP address with bunch of gobbledygook trailing behind it.