Your understanding is correct that you can create a shared line appearance on all the required phones with extension of Pilot number for which the mailbox exists on CUC and will be used for taking messages.Just make sure that agents know the PIN number for this group mailbox. Alternatively, you can also refer Dispatch Messages in Unity Connection option as explained in the below document and see if that can be of help or not:
http://www.cisco.com/c/en/us/td/docs/voice_ip_comm/connection/9x/administration/guide/9xcucsagx/9xcucsag170.html#pgfId-1096331
Regards
Deepak