Two separate issues. First, the mailbox isn’t initialized until the user logs in, changes the password and records their name. Once that happens, the flag will change showing the mailbox is initialized.
As the other posters stated, calls will not forward to voice mail unless there is a forward path programmed and system forwarding is turned on. Look under System / Devices and Feature Codes / Stations (Endpoints for a 5000) / Forward Paths. If none are listed, right click and add the forward path for voice mail. Compare the settings to a station that works properly.
Under the station flags, make sure System Forwarding says Yes. You should be good to go.