Ok, now it makes more sense.Since you don't have a Home Menu but a Home Transfer it cannot go back to a menu because there's none.
The only option is to transfer to the Dn so that's why it says "There is no recorded message...".
To prove this, disable the ccr tree for one of the table and dial the number, once you hit the mailbox press "*" and you'll be able to dial any extension.
What you could do at this point is to create a ccr tree(Home Menu) with option 1-transfer to the proper dn(remember you need at least one option when you use a Home Menu)then change the operator of the table that you will assign that ccr tree to the same dn.For that table you could use a blank company greeting and put the "Your call will be recorded," in the ccr tree primary prompt.
When the caller calls in they will get a blank company greeting followed by the "Your call will be recorded," ccr tree message then be transfer to the operator of that table that you had defined previously.When they get to the mailbox you could let them know that they can leave a message or press * followed by another extension.