So why would it not also keep the t-stat powered through the R terminal, indicated by the wiring to the R terminal from the CPU?
Do you know for a fact that this model furnace kills the power to the thermostat when the limit switch is open? I'd like to see the circuitry on the back of that board for myself.
The line from the Transformer before the fuse powers the CPU. The trace from the R and W lines are inputs to the CPU to tell it mode of operation and set codes. Power goes to the CPU through the thin RED line, the CPU detects inputs on the blue lines. If the CPU detects a loss over voltage on the R terminal it sets a "33" code. If you were to look at the physical board you would just see circuit board traces going to the CPU. You would probably find some sort of AC-DC convertor to power the CPU that's not shown on the wiring diagram. I've never seen a CPU powered by AC directly, most run on 12v, 5v or 3.3v DC.