The work flow has changed, in part, because the new client also allows for Vault's "CVS mode," in which there are no checkouts. The MSSCCI client is locked into SourceSafe's mode of operation, the new client is not. But your point is taken: new users of the new client don't have a good way of knowing what differences to expect.
More to the point on your specific scenario, you're too focused on needing to merge. The "Renegade" status is exactly what you're asking for: Vault's recognition that the file changed without a checkout. Vault didn't see that the file needed merging because it didn't. A change made offline doesn't necessitate a merge when you go back online.
Here's the possibilities:
No merge (what happened to you):
1) While offline, you make a change to file.cs.
2) You come back online, the file's status is "Renegade."
3) You check out file.cs. Its status is now "Modified."
4) You check in file.cs.
Merge, no conflicts:
1) While offline, you make a change to file.cs.
2) Somebody else commits a change to file.cs.
3) You come back online. The file's status is now "Needs Merge" (not Renegade).
4) You check out file.cs (with the default auto-merge setting). This gets the changes that were committed in step 2 by someone else. The merge happens automatically and the merged contents are in file.cs in your working folder. The file's status is now simply "Modified."
5) You check in file.cs.
Merge with conflicts or auto-merge turned off:
1) While offline, you make a change to file.cs.
2) Somebody else commits a change to file.cs.
3) You come back online. The file's status is now "Needs Merge" (not Renegade).
4) You have auto-merge turned off, or there was a merge conflict that couldn't be automatically resolved. When you check out or get latest, you get a "Could not automatically merge..." message in the output pane.
5) You click "Show Merge" and DiffMerge comes up with 3 panes: your changes on one side, the other developer's changes on the other side, and the merge result in the middle. You perform the merge manually and save the file. The merged contents are in file.cs in your working folder. The file's status is now simply "Modified."
6) You check in file.cs.
Edit: There's no such thing as a "Checked Out" status. The tool tips says "You have this file checked out" but the status in the pending changes pane is "Modified." I've had some coffee now.
