They do leave messages. We had the ATO tax scammer leave a message on our answering machine. We have also had the Telstra cutting off internet one as well.
I think they are becoming cluey that many of those who are calling aren't picking up and leaving it the answering machine. As a result, they may leave messages.
The two messages which have been kindly left on our answering machine do provide a good laugh, but is concerning that some who may not be aware of such scams fall for it thinking that scammer's don't leave messages.