as far as I know you need to create a user account on the exchange side or you cant import the user into Unity to create the voicemail account
I dont handle the MS side, but I have someone in that group create me an exchange user account when I need build a Unity account, and I believe they said they can check off "no email" or something on teh account to make it a strictly voicemail type of exchange user account, I will check for you tomorrow when in the office...but regardless I believe youre going ot need an exchange account created for this user that needs voicemail