Yes, that's the way it's designed. I can never remember it being different.
You didn't mention what VM you have so I'll assume embedded.
It is possible to forward to an ACD path of *3000 and then interflow to VM. (I think it's '*', might be '#')
The trick is to queue the call to the ACD path for 1 second before interflowing or else it will still go into mailbox 2000.
Ralph