Your phone may be running v5.0.0654. This is the current software however, it has a problem with voicemail notifications. You should be getting a SMS text telling you that you have voicemail. If you have SMS text to ring, or vibrate, that's how you would know. You should still be getting an icon. Try downgrading to v5.0.0.459, this should work!

You may need to call the voicemail itself and set-up your notifications. This is fairly common for most new accounts (phone #'s). It's possible to do it all either on your pc, or on your BB itself. In my area, and featured on the newer BB's is the Visual Vioce Mail as well. Is this an issue for you as well? This is a seperate yet linked service; it needs to be set-up thru the carriers web page. Then the app permissions need to be allowed on your cell phone. After this is accomplished you should recieve a SMS alewrting you to a new voice mail.

Are you running a theme other than the original one that came with the phone? If you're running a different theme, it's probably that theme.