Ok, you mean the voice prompts when you login to your mailbox. AAM is the more enterprisey version of CMM and I was referring to a field you can type into that affects the subject line of the messages when they are forwarded to an email box - not the voice prompts you're referring to.
If I had to take a guess at what makes CMM say "Missed call from 212xxxyyyy" vs "Missed call from extension 212xxxyyyy" I'd guess its maybe in some basic system parameters like mailbox length being 4 or 5 digits and perhaps the call routing in CM to CMM that might define the call as internal or external or not.
So, what's the mailbox number length in CMM? In CM, if you check the voicemail hunt group and what digits it inserts into AAR, what type of call is that in AAR? From memory, with CMM/SIP, it should be unku. Maybe if you had it as calltype aar, CMM would see it as private/internal and in turn play a prompt that your message is from "extension 212xxxyyyy".
To be honest, and I don't know if anyone else has seen this sort of thing, you can't quite directly administer what CMM says to you when you call in, but the changes you make in administration/trunking/hunt groups/etc will have some effect.
To say, I have no idea if CMM would always say that you have messages from "extension" even when that "extension" is a PSTN number. I don't think it should, but it isn't exactly something I've ever really looked for. Best guess though would be that your call type in AAR for the call isn't unku... what version of CMM? h.323/sip? double check the config notes and look for 1 little detail that isn't right...