This is because of the call-forwarding settings configured for that extension and phone number. When the direct connect option is selected, unanswered calls are sent to your personal voicemail instead of the Grasshopper voicemail.

To ensure that the Grasshopper voicemail is used instead of your personal voicemail, ensure that you set each call-forwarding phone number to either "call announce" (calls will be announced when you pick up) or "call screening" (callers will be asked for their name, then announced to you). Learn how to configure your call-forwarding settings here.