Do you mean "When you receive a voicemail?" Voicemail notifications use a specially formatted text message to turn the alert on and off. If the phone does not know how to interpret this message, it will not take the correct action.
Does the missed call indicator appear if no voicemail is left? You will receive the missed call indication only if the phone rang or detected an incoming call. If the phone is off, out of range or actively transferring data in 2G mode, there will be no missed call indicator.