You could navigate to the voicemail messages either in the conversations tab and opening up the correct conversation and clicking play on the call log there. Please see attachment for photo.
Or
I'm guessing the second option would be better as it feels more productive, since all of them will be in one place. You'd have to open up Reporting -> Call Reporting and then in the Latest Phone Calls section you could expand any of the calls for more info. Please see attachment for photo.
