In the Transfer Directly to and Consult Then Transfer option it should have the option to pick the user's voicemailbox as well as their numbers.
Lync Phone Edition
Music on Hold button on Lync Phone Edition should play music even if there is no call queue involved.
The Aries phones are great but Lync does need a certified cordless device with presence & phonebook integration.
Polycom Kirk is part way there but expensive for small deployments.