Look for the "Dispatch Delivery" checkbox on the Call Handler where you indicate the target of the voicemail. If the voicemail was sent via "Dispatch Delivery" to a distro list, the voicemail will remove itself once it has been listened to by one of the members of the distro list. It can't be deleted directly, as far as I know, from an individual voicemail box in that circumstance.
If the voicemail was not sent Dispatch Delivery, then something else is going on.
Maren