Assuming that your voicemail uses DTMF to light the light there are two possibilities.
1-The voicemail can't dial with DTMF. To troubleshoot this, call into voicemail from the outside and dial an extension number. If the call is transferred out to the extension the voicemail can dial. If the call goes directly to a mailbox it can't dial. It is probably due to a missing or incorrectly programmed DTMF receiver card on the processor card.
2-The voicemail is dialing the wrong code. To troubleshoot, on the DK8, DK16 press intercom 63 plus an extension number to light a light. Intercom 64 plus an extension number to turn the light off. The DK16e, DK40, DK40I, DK280, DK424, are the same except that the code is #63, and #64. If this is the problem it is usually due to the voicemail being set to the wrong system type.