I have not played CO, so I am a little fuzzy on there end, but know the SL position well.
When the SL talks to the CO, only the CO hears them. A name of who is talking appears, but does not mention the squad that person leads (so it is a good idea to announce it).
The CO can address all SLs (by default i believe), so should also specify the squad he is talking to by naming them. However I believe there is also an option to talk to just one squad / a couple of squads by clicking on them in some fashion, although I am unsure of the mechanics of it. I expect a CO player will reply with a more specific answer soon enough
hope that helped!