I've had my Nokia Lumia 928 for over a year and have never had this problem. The "You Have Voice mail" icon won't go away. Even after I've erased all of them.
Let's see what we can do to change this, dodgerblueblood! Have you tried powering your device off for 20-30 seconds? This should reset the device. ChaunceyM_VZWFollow us on twitter @VZWSupport