That's not notification you're seeing - that's the real voice mail message showing up in the user's mailbox. We use Exchange as our native mailstore - we don't store the message somewhere and then shove a pointer to it into the mailbox you can follow - this is true Unified messaging, not synching.
If you don't want voice mails to appear in User's Exchange mailboxes, you have to create seperate mailboxes for their voice mail account (these can be hidden in the address book) and use those until you're ready to do UM. You can use the Migrate Subscriber Data tool to move the Unity settings between email accounts if you need to - you can get details on this tool on its home page here:
http://www.ciscounitytools.com/App_MigrateSubscriberData.htm
