Review the user configuration in Unity Connection, locate the user, go to unified messaging section and make sure it is configured for single inbox, you can alos perform a test from there to see if UCXN can locate the mailbox on Exchange.
That works, no problem which is what I expected. This is not a constant problem. As an example, user received two voice mails in email, but light was still on indicating a third voice mail. I have had another user that has indicated the same thing, the do not see any voicemails in the inbox, but realize that their MWI light is on and when they check it there is a voicemail there.