The Treo can't play g711[ua]law WAV files out of the box. There's a little third party app called mVoicemail:
http://www.motionapps.com/products.jsp?mvm
that will provide just that functionality on your Treo. We use this with reasonable success on our company's Treo 650 mobile phones. We use Goodlink as our mail app, but it's supposed to work with other mail apps as well. Goodlink is fully/live synced with your Exchange mailbox, so once you touch it on your Treo it's marked as read (Unity TUI "saved"), and when you delete it it's gone. We have seen but have not verified some issues with Goodlink possibly trashing the message class and Unity no longer recognizing it as voicemail.
One caveat is that PalmOS applications don't have access to the Treo phone earpiece. When the voicemail plays, it will play from the speaker, on the other side of the phone. You can turn down the volume and get some level of privacy, but it's not what you would call seamless/perfect.
Furthering the experience: We managed to reach the right people at Sprint customer service to have our phones CFNA'd to our Unity and RDNIS comes through properly. When we can't answer our cell phones, instead of having a separate Sprint voicemail box, now it goes to Unity and into our Exchange mailbox. That in turn is then available via our desk phones (MWI, Unity TUI) or our laptops (Outlook) or right back to our Treo mobiles (Goodlink, mVoicemail). Sprint charges $0.10/min for forwarded calls, but if that turns out to be a nontrivial expense for you, you're getting an awful lot of voicemail. One of these days we'll set up an Exchange-compatible fax server and complete the "unified unified unified messaging" trifecta, but we haven't gotten around to it yet.
