I have this same issue, I cannot comment on how the OP does it, but for visual voicemail there is no notification, either in the notification bar at the top or on the application icon itself. I have not tried *86 at all myself. I have relied on the notification bar to let me know there is a voicemail before chacking.
As for myself I have contact support, we did the network reset, reset the application itself and it did not resolve the issue. I also have the Motorola Z3.