Ess, could you do me a favour please and check the setting you have for APN for visual voicemail. I'm sure you know where to find it but just in case...
Settings - General - Network - Cellular Data Network
Currently mine is set at idata.co.uk but that should only work on iPhone tariffs. I had to change the Cellular Data setting to mobile.o2.co.uk and the MMS setting to wap.o2.co.uk from the default idata.co.uk settings, so I don't get why you haven't had to.