We have 5320s and 5330s here, running MAS 4.0 and UCA. When I change my dynamic status to 'Mobile' (which directs the calls to my cell phone), the indicator on my phone does show that the calls are being forwarded (it takes a couple seconds before it displays after switching the status).
Just a thought, but is the user's correct Desk Phone listed next to their name in the Mitel Unified Communications Server Configuration settings? I know it should be...but it may be worthwhile to double-check.