I know some phones will give you a blinking light if you have a message in your VM Box. The iPhone has no such feature that I am aware of.
My ATT iPhone will give a different ring tone if I receive a phone call that I do not answer and let go to voice mail. This tone will sound only if a voice mail is left and will sound only one time. Other that that there is no other way of knowing about new voice mails but to look in your VM box on your iPhone.
bc