Hi,
if you want a feature in which the tone is played after entering the blocked number, and the pin is to be entered after the numbers, CME doesn't have that. Only a TCL/IVR script could do that.
On the other hand, users that have a pin are supposed to know how to use it so they can unlock the phone or prepend it to the number depending how you want things to work.
Hope this helps, please rate post if it dies!