Have a 5000 customer, who forwarded extension 1124 to 1118. Both Internal and External calls to 1124 ring to 1118, but never go to voicemail. If you call 1118 directly, it does go into 1118's voicemail. Additionally if you remove the forwarding on 1124, both internal and external calls go to voicemail.
Tried it on my own 6.X system, and it works perfectly. Customer is running 5.1SP3.