http://www.cisco.com/en/US/docs/voice_ip_comm/connection/8x/troubleshooting/guide/8xcuctsg121.html
If users do not receive incoming voice messages in the email client inbox, check the Junk-Email or other spam folder. The mail client may automatically filter voice messages to this folder. For information on configuring spam filtering to exclude a class of messages, refer to the email client documentation.
You may also need to check the configuration of any email appliance or server-side anti-spam filters in your organization to see if voice messages are being routed to Junk mail, voice attachments are being removed, or the policy is otherwise interfering with the delivery of voice messages to user mail clients.
Shot in the dark, but worth a look. I'm not an Exchange expert either.