Thiel CS6 to Von Schweikert VR4 JR - Am i Crazy?

Thiels are a double edged sword. They will reveal any flaws in the equipment upstream. Any minor change(s) in the system with Thiels can yield significant results (good or bad). However, if you spend the time with proper speaker placement you will be richly rewarded. If you get to much side wall reflection then a little toe-in will be beneficial. If you have plenty of space between the speakers and the wall then the Thiels generally sound best without any toe-in.
I would also follow the suggestions above to look for a another cdp. I had some of the more expensive Sony's with my Thiels and it was simular to what you are experiencing. The Modwright would bring some warmth to your system. Or a tube pre amp. It is more expensive to add warmth to your system this way than with cables but you will have much better results. I use a Pass amp but others have had great success with Classe and Mac.
I agree with the above posts that it would be a step backward to dump the CS6 for VR4 JR.

"Am I crazy?" Yes indeed. You have a great pair of speakers, there. I also agree about the source. Time to make a change. As far as soundstage goes: maybe you can give us the scoop about their placement. Usually shallow depth means speakers are not far enough away from the wall. If depth of soundstage is what you're after, I don't think changing your speakers will get you there.

I say go for it. As good as your Thiels are, they just aren't doing it for you. Maybe the VR-4jr's won't either but there's only one way to find out, and isn't that what this hobby is all about.
The VSA's aren't chopped liver, I feel they play with speakers costing much more than their asking price. And more importantly fill those needs you mentioned in your original post.

the big thiels are notorious for being difficult loads to drive, but the McCormack amp you've got should have no trouble driving them.

are you toeing the speakers in? is your listening position on the back wall? how big is your room?

I never like the sound of Thiels. Maybe the ones I heard were set up wrong, but they always sounded bright and fatiguing. It's hard to believe though, that all the reviewers could be so wrong about them. But your pre/amp/cdp combination is bright and won't bring out the Thiels best qualities. Your options are either change electronics and keep the speakers, or vice versa. If you choose the latter, the VR4 jr's are an exceptionally good choice, and there are some used ones for sale.