You have to have made a backup or synced before deleting any messages. You also have to have installed the VM+ app. At that point it will back up messages for 90 days forward after installing, but not any messages from before installing.
Also, assuming you've had this phone for a while and recently started using VM+ switching from another app or even the native app, your older messages, 'should' be on your native messaging app, the one that looks like an envelope.
I hope that helps.