Thats exactly the way the its designed. Regardless of the transfer type out of the voicemail, or forwarding from the PBX, it will hit the box of the original ext dialed.
There are ways around this via translation files, msg fwding, or other tricks, but please fill in more about what the app is. Is this a permanent thing or just temp? What vmail is being used, and are you using a series 3, 9600, or allegra PBX?