Your scenario is what the "Call Forward No Coverage" setting is on the DN. Along with that you have to check the box for "Use Forward Settings of Line Group Member" (which replaced "Use Personal Preferences" in older versions) for final fowarding on the hunt pilot.
That combination causes calls forwarded from a DN to a hunt pilot to return to the DNs CFNC for final forwarding. If you want the call to go to the DNs VM, check the box for VM on the CFNC setting on the DN.
Keep in mind that if that hunt pilot is used for other purposes, the final forwarding settings will not work for direct calls to the pilot. In that case you will want to have a second pilot for the direct calls. (Same number in a different partition.)