I'm having the same problem. I can call in to *86 and retrieve voicemails, but I don't receive any notification to tell me that there is a voicemail waiting to be heard.
I called *86 and tried to set notification on, per your suggestion above, but when I choose voicemail>Personal Options there is no Notification option given.
JeffreyRichman, we appreciate your efforts thus far. We're stepping in to help. Notifications for Visual Voice mail are automatically enabled on. When a caller leaves a voice mail, you will be prompted one time. There after, you will be required to tap the phone icon to access your voice mail inbox.
For more device support, click http://vz.to/1kDL3MI
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Basic voicemail is where you dial *86 but visual voicemail actually requires data to be enabled and saves the recording so that you can listen to the message from the phone without dialing in and you can save the recording and listen to it again anytime.