I want this for Codex.

Yep. Came to say the same thing. I'd only used Codex in VSCode and in the Codex app, and at least those have the same history, but my understanding is that the cloud and CLI versions have this hierarchy of 'visibility' [0]. Perhaps they'll need to change this design decision?

[0] https://www.youtube.com/watch?v=cczkDMmmrEE

At this point if one lab comes up with a feature it’s a matter of time before another does the same!