I can't speak for Voyager, since I don't recall whether Captain Janeway used photons against Borg Cubes, but in TNG, specifically, "Q Who," photon torpedoes are shown to have no effect. The ship phasers do plenty of damage, yet when fleeing from the Borg Cube, the Enterprise's photon torpedoes are ineffectual.
Photon torpedoes work on a principle of massive radiation and kinetic damage. With their shields up, they would be deflected. A phaser is a directed energy weapon, which can be re-modulated to bypass the shield harmonics of a vessel, in this case by using a sweeping frequency voyager can penetrate the shields of the Borg vessel until the frequency is blocked.