Read the page of the company doing it, that's not exactly what they're doing (which you correctly point out it would be pointless) - http://www.blueplanet-ltd.com/
Their starting material is CO2-source cement, not some natural “rock”.
Counterexamples are substantially more helpful than downvotes.
> A rock particle is coated with our synthetic limestone, forming a carbon-sequestering coating that is 44% by mass CO2.
That's where the CO2 goes, not in curing the CaO