I am unable to make this feature work on my Obi110. Everything seems to work correctly. I got all the way through the auto attendant response "Please wait while your call is being connected", then the line is disconnected.
One thing that will cause the symptom that you describe is a false disconnect signal when the adapter takes the PSTN line off hook to dial the call. You can check this out if you run a syslog on the adapter. If it is a false CPC signal you may alleviate the problem by slightly increasing the CPCTimeThreshold on the Line Port PSTN Disconnect Detection.
To run a syslog you download and install a syslog program on your pc. You set the pc's address under System Management-->Device Admin-->Syslog-->Server. I would also set the X_SipDebugOption to "Log All Messages" on the SPx Service you are using to access the adapter. Obi has a simple windows pc syslog program available for download ...
http://www.obitalk.com/forum/index.php?action=printpage;topic=707.0