I Don't Get them with Mine have done a Google search to see if there is any thing on this Subject ? Scratch what i posted i do get the notification and the Missed call Icon as Well.. Take a Look at this Link as might help some
Normally when a voice mail is left for you, you should receive an icon in the status bar, if you aren't seeing it, please call your voicemail and when you get to "Personal Options" select "Message Waiting Indicator" to make sure it's on.What happens?
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I did what Tamera suggested, and my Voicemail notifcation icon is turned on. So i turned it off, then back on. And this morning i got a notification. So i believe that worked for it. Thanks for the help!