yes, by default outside (i.e. unidentified) callers aren't asked if they would like to edit their messages or mark them urgent when leaving a message for a call handler or a subscriber - this speeds the call along and simplifies the conversation.
However, you can change this behaviro on the "Messages" page of the subscriber or call handler in the web based SA. You can select "callers can edit messages" and select "Ask caller for their preference" under the "Mark messages as urgent" section.