If you are receiving notifications that you have visual voicemails, but your voicemail icon is not showing the unread message count, you have the voicemail icon installed, not the voicemail widget.
To install the Voicemail widget:
First, delete the Voicemail icon; press and hold the icon, and drag it down to the trash can, usually located on the bottom center of the screen
Press and hold the spot on the screen where you want the new widget to appear
Select Widgets from the menu
Flick up to scroll down until you see the Voicemail icon and select it