Voicemails are recorded on your network as audio files and are downloaded to your phone. They are then played back in the usual way, just through the phone app rather than through the music app. Any voicemails you have are visible in the Voicemail app and should be able to be played back by pressing the play icon. This doesn’t always work, though. Here are some fixes you might try.
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Most mobile networks allow you to contact your voicemail system from another phone. This can be handy if your battery is flat, or if you don’t want to rack up extra costs when you’re overseas.
From the Skype for Business desktop app (if you are running Click-2-Run build C2R 8201.1002 or later), select Set Up Voice Mail. Change your Call Answering Rules You can change what options your callers have when they reach the voicemail service; get disconnected, hear your greeting, record a message, choose to be transferred to the number or user you select. Change your prompt language This is the prompt language that is played to callers. For list of supported languages, see Languages for voicemail greetings and messages from Skype for Business. Configure your Out of Office greeting This is the customized greeting message that is played to callers when your status is Out of Office. This option can be activated "Always," when you have an active "Auto Reply" in Outlook, or whenever you have an out-of-office calendar appointment.  Where you can get your voicemail messages from