I could be wrong here but I believe that this is your situation:
If B leaves a meesage for A and A pushes '9' to callback B then callback utilises the conference key on A's phone to place the call to B. It does not bridge the conference for that would put the call to B together with the Call Pilot session. Because there is an unbridged call on a conference key on A's phone the PBX cannot allow B, the called party, to further conference or bridge that call. Only if A completes the bridge to the original call (i.e. Call Pilot) by further pressing the conference call key can B then proceed to make a call transfer or further conference.
SD