Reg555, that is unfortunately how the Call Blocking Handset feature works. Since Voicemail is handled by the cell network, and not your handset, blocked calls can still leave messages.
There is network level blocking you must contact your provider to see if its available to you and how much it costs, and the calls will be blocked at the network level, meaning your phone wont even ring, you do not need to use the block feature in your phone for this, as its done at the network level. you can also inquire if the network level blocking blocks SMS, MMS and RCS messaging too since I do not know for sure if it does or does not