User reported an issue, so I tried a test.
From ext 119, I called my own DID of 6365551212 (outbound CID 3145551212)
I entered ext 118 at the IVR.
I answered on 118 and talked to myself.
I hit the transfer button from ext 118.
I heard the hold music on ext 119.
I dialed *103 from ext 118.
I pressed transfer again.
The call disconnected form 118 as expected.
Ext 119 then hears the call cannot be completed as dialed.
Ext 103 did not get voicemail. VM is enabled and works on normal transfer to 103 that is not answered.
That was exactly it. I had turned that feature code back on a few months ago to test something else and completely forgot about it.
The user that caused me to test this is on a PBX without the conflict. I highly suspect user error. But I needed to setup my test phone buttons to match theirs in order to validate that.