Found the problem. My path was... inbound route-> set caller id-> IVR (with greeting message)-> Extension -> Follow Me (with transfer message)-> Announcement (with voice mail greeting)-> Voice Mail (no-msg).
What corrected the problem was changing the Voice Mail (no-msg) to Voice Mail (instructions-only).
I was thinking (or at least was wanting, expecting) it would play the voice mail greeting message and then go "beep" and start recording, and then while it was playing the voice mail greeting message it would let me press the * asterisk button to enter into voice mail instructions mode. But that apparently is not how the program functions unfortunately. Or will it and I just don't have something setup correctly?
Something I am noticing though, when I do press the *, sometimes it goes straight to the voice mail menu prompts and sometimes it bypasses and starts recording, and I am pressing the * in plenty of time. Not sure why its doing that.