Transferring directly to voicemail is possible using the proper sequence.
1)  Once on a call use the 'Transfer' button to initiate transfer
2 ) Press * along with the 4-digit extension.
3) Use the 'Transfer' button to complete the transfer and close the call.
Complete the process quickly to ensure a timely transfer. You will notice that the voicemail message will start on your side and wont reach the other party until step 3 is complete.