I have seen these devices, but they do not play a recorded message, they
dial up the alarm monitoring service's computer line and transmit a digital
signal, consisting of your account number and a code that describes the
condition (i.e., "1" for hold-up, "2" for fire, "3" for silent alarm, etc.).

What I think you are looking for is something called a "tape dialer."  Radio
Shack does/did carry them, but they plug into a landline, not into a
cellular device.  Tape dialers have fallen out of favor, because the early
ones were programmed to dial the police and play the message--and these
calls tied up the police emergency lines, especially when false alarms kept
tripping them over and over again.  Most police emergency dispatch centers
prohibit these dialers from calling them directly.  The dialer must call a
monitoring center, and the monitoring center must attempt to verify the
alarm and then notify the local police.

Getting back to the cellular dialer, the presumed advantage was that a
burglar could not cut the phone line and disable the alarm reporting
function.  As I understand it, the cellular dialer is used only as a backup
if the standard phone line is disabled.  And, if the cellular dialer is
programmed to go out on ATTWS, there is a good chance that the call won't go
through, considering ATTWS' reliability problems :)

Bottom line: contract with a bona fide alarm company--they can recommend the
right combination of equipment to ensure that if you DO have an emergency,
it gets reported.