Hi -
Yes, it always goes into the user's Outlook - Exchange information store. We have unified messaging and "occasionally" we are asked to create a voicemail only account. We do this by creating a new account for the user, hide it from the GAL, also uncheck the box in the Profile page to List in the directory. Put the user in a COS that does not have FaxMail or TTS checked in the Licensed Features section for the Conversation. This should work for you as well!
Sincerely,
Ginger