To listen to your voicemails, click on the phone symbol. Click on Voice mail. In the notification, you see the number of voicemails that have not been handled.
In the voice mail I have one message. I can choose to listen to messages by pressing the play button.
Pressing the menu button brings up more options, and I can choose to Download the message, or I can choose to mark it as unplayed or played. Share the call to a chat channel and archive.