The options will only transfer to a voicemail box. If your pilot of your hunt group or MCG was 500 for example, you would need to create a VM box 500 with an extension field of 500H (H for blind transfer). Make sure DND is off. I would also uncheck the box "Store Messages" so voicemail messages don't accidentally get left there. I have seen this happen very often.

The voicemail box number does not have to match the extension number. For example, you could have VM box 0 have an extension of 500, so when you transfer or press 0 from the auto attendant it will call ext 500 on the phone system.

Yes it seems like a menu option should be able to transfer directly to an extension, but it wil not. The new voicemail called Strata Messenger can do this, amoung other things.