It sounds as though Audrey is just what you need. Here are the answers to your questions...
Leave handwritten messages (will this light up the pen?)
Yes, either through the Calander program or through an updated image and the NotePad program.
Have a handfull of website channels (News, recipes, tv guide) using the channel knob.
Yes, you'll just need to reprogram the Channel Knob for the sites you want. No server is needed, just the web site you want. The information that refers to the Channel Knob not working is referring to a stock Audrey, not one that has had the Channel Knob upgraded.
A calendar that will sync with either a PocketPC, Outlook, or MSN calendar.
Not directly, but you can use Yahoo Calender to access your appointment through Audrey and sync that with your Pocket PC, Outlook, etc.
Alternately you can use a Palm as an intermediate device, enter your information into Audrey's Calender, sync with a Palm, sync the Palm with your desktop (Outlook), and sync your desktop with your PocketPC.
Is there another internet appliance that is better suited for the tasks I want to do?
There may be, but it sounds as though Audrey will do everything you mention.