I have this problem too.
Here's a workaround: dial your phone and LEAVE a voicemail message (yes leave one!) Then dial back and delete the voicemail you just left. That clears the red dot.
Two other observations when my voicemail is empty:
1) When I reboot the phone, the red dot reappears.
2) When I turn on airplane mode, wait 5 secs, and then turn airplane mode off, I get a notification that I have a new voicemail and the red dot reappears.
My hunch is it's related to iOS and when the Carrier is initialized, iOS thinks there's a voicemail when in fact there isn't. In both cases above, the Carrier (cell network stuff) is off and then gets turned on (initialized.)
Or it could be related to the SIM card... my SIM card is very old (5+ years) so perhaps newer SIM cards are configured slightly different and this error doesn't occur... just a thought.
iPhone 3G, iOS 4.1, unlocked, using T-mobile.
Update: known problem, link says to get a new SIM card, 64K
h ttp://modmyi.com/forums/t-mobile/31930-red-dot-bug-1-1-3-unlocked.html
Or search Google: search?q=red+dot+bug+iphone+tmobile