Just to be clear, there IS a way to go directly to checking the voicemail without having to ring the extensions and without having to press star:
Step One: Create a Misc Destination that calls *98xx (where xx is your extension number).
i.e.
Description: Check Voicemail for Extension 200
Dial: *98200
Step Two: In your IVR, create a SECRET option (not the one that callers use to reach the extension) and make the destination: Misc Destination:(name of Misc Destination you created in step 1).
Step Three: Now, when you make that selection, you won't have to press *. You'll just be prompted to enter the password.