If you dial into the voicemail and press pound, and get "please enter your mailbox number" and you key in the box, and you are hearing "I'm sorry, that is not a valid entry" then somehow you didn't actually create the box. "To set the system to use it" isn't really a step. As RBF said, transfer = blind and the destination is "X" meaning the extension number. There are no other steps and you shouldn't have to even check those things. Usually, this never comes into conversation because the system will already use the box for the extension, because the template sets new boxes up correctly. Sadly, I haven't touched the Keyvoice setups since the DX-120.
This is assuming this you have the Keyvoice software running. The keyvoice software ran on small office lite, debut, DX-80/120 voicemails, etc. The phrases you provided makes me think it is that software.