Are you allowed to set up a voicemail for apple watch 7?

You can setup voicemail for the associated phone line the watch is using, not the watch itself. Its a carrier feature not a device feature.

If paired to an iPhone, Voicemail is the same one used on the iPhone. If the watch was setup using Family Setup, then it can access Voice Mail on its own in the Phone App.

You can access Visual Voice Mail from the Phone app on the watch or if your carrier does not support Visual Voice mail, you can access regular voice mail by dialing a number provided by your carrier.

It uses the same voice mail as on its paired iPhone.

In that case, contact your carrier to setup your Voicemail.