No, that's not how the transfers work - you have to send the call to another call handler for the transfer to take place (i.e. 0 is mapped to "attempt transfer for" another call handler which does the transfer to the phone). When the call is pulled back it's in THAT call handler, not the original user's mailbox where you mapped the 0 key.
You can setup that call handler to take messages and leave them for the subscriber you want - or you can set the call handlers alternate greeting to active (which over rides all other greetings) and have the after greeting action set to "send to greeting for" the original subscriber. This would be the best way to go about it - this way the caller gets the transfer and then if the assistant is not there then the next thing the customer hears is the original subscriber's greeting and they can leave a message.
For more details on how the auto attendant flow works, check out the "Audio text applications in Unity" paper on the Documents page of www.CiscoUnityTools.com - it can help clear up how all this works.
