Make sure your plan has the Visual Voicemail feature enabled. It is free.
Call up T-Mobile (611), or login to your tmobile profile on the tmobile website and add the feature to your account.
Might take a few hours to start working. After a few hours, reboot your phone, should be in business.
So what the phone was telling you may have been correct, just wasn't giving you a description of the details.
Hope this helps.