We have sfb2019 onprem with exchange 2019 onprem - in this scenario voicemail is handled in the cloud. Like you, voicemail functionality works fine but when users click "Change Greetings" in the sfb client, the call rings a few times then fails - users are thus unable to create custom greetings.
We have opened a case but as usual, o365 support is completely useless when it comes to *anything* having to do with hybrid - saying stupid things like "you have to be in islands mode for voicemail to work" and the like.
@Wes Lazara Yes, believe it or not the free support aren't trained in Hybrid environments. If you want a very complicated and specialised setup, you should be paying for paid support, like partner support. Relying on free first line support to answer your queries like this simply won't work out for you, and shouldn't either.
These people don't know how to answer your queries because they simply are not trained in this area.