This is the intended behavior when using the default "Forward All Calls" rule. Calls will be offered to the selected target and if a connection is not established (either to a live person or an automated system) the call will be directed to the voicemail for the original forwarding extension.

To fully transfer a call to an external number, you'll need to Set Up Call Forwarding in 8x8 Admin Console and move it to the second priority position (directly under the "Forward All Calls" rule).