This behavior is dictated by the "error greeting" - which by default is not visible in the SA. You can take care of this a number of different ways :
you can expose the error greeting in the SA and manually set it on each handler by setting the "Expose error greeting" option in the advanced settings tool.
You can also use the BulkEdit tool to change all handlers and/or subscribers such that all the error greetings "loop back to self" - there's a special option in BulkEdit just for the scenario you're talking about.
You can use the Audio Text Manager to manually edit them on a per handler basis - it always shows the error greetings regardless.
For more than you ever wanted to know about the error greeting and related topics you can check out the Audio Text Applications in Unity doc on the Documents page of www.CiscoUnityTools.com