Maybe I am not waiting long enough after leaving a voicemail message for it to go back to the IVR.
Since dialling 0 was working during VM recording to choose that IVR option, i did try setting up the extension numbers as options in the IVR, but that didnt seem to work either.
i.e. I set IVR Option 10 to dial extension 10, 11 to dial ext 11, etc etc, and disabled the direct dialing extensions option, but same result. - If i dial another extension number during VM recording it doesnt recognise it.