For Skype for Business the voicemail was hosted in Exchange but with Teams Microsoft released a service called Cloud voicemail (previous Azure Voicemail). In the start this was kind of basic but now end users can do more configurations. You can configure Cloud Voicemail from your Teams client or from a web page.
Virtual Receptionist allows all calls to be answered automatically - 24/7/365. Set up a customizable greetings that can route your callers to specific departments or extensions, and you can even give your Virtual Receptionist its own office hours with time-of-day scheduling, ensuring your customers hear the right greeting at the right time. Combine with other advanced features like rollover hunting and call queue with hold music that makes the wait enjoyable to ensure you never miss a call again.

For many businesses and professionals, your voicemail greeting is going to be the first point-of-contact for your customers. This is especially true for service businesses, who often rely on their voicemail to collect information from interested parties.
Hello, you have reached the dental office of Dr. X. We are busy assisting a patient now, but will call you back as soon as possible. Please leave your name, reason for calling, and your number. If this is an urgent enquiry, please call 911. In this case, the dentist is giving a reason for not being available and they’re providing a way to prioritize the patients who need the most help. They’re also leaving an emergency number for the most severe of situations.