Totally agree. I would love a phone app that also gave us access to our voicemails, maybe via iCloud integration or something. For me, the value of being able to take calls on OS X is pretty diminished because of the fact that I can't listen to a resulting voicemail when I decline a call - I need to have my phone with me anyway to do that. I get a lot of spam calls, and therefore pretty much always decline a call when I don't recognize the number. It's handy for placing calls, but until I can listen to my voicemails, I still need my iPhone at my side, therefore rendering OS X phone calls kind of pointless for me personally.
However, I would find it a very useful feature if this were fixed. I would be able to leave my phone charging when I have my MacBook Pro in my lap at home at night and use the OS X phone call feature instead.