Tina,
I'm confused - I also think you may have a misunderstanding ;-)
I'm confused because if I read what you are saying, if someone forwards to the Workgroup, even if there are agents available, you are saying you want it to go to VoiceMail for later processing? Unless I'm missing something, that doesn't make sense...
Now to your misunderstanding. When you set a mailbox user on a workgroup, that does not cause the workgroup to send those messages to workgroup members. To do that, you need to monitor a mailbox, either in the ACD Routing settings, or using Attendant. The mailbox does not need to be associated with the workgroup for distribution (although it can be.)
Anyway, I'm guessing the easiest way would be to create a Profile in Attendant, clear the various prompts and repetition timers in the profile and default schedule and then set a default action of "Voicemail Transfer". You then select the workgroup from there. Users would then set their forwarding to the profile, rather than the workgroup directly.
Others may have alternate methods, but I reckon that's how I'd do it :-)