Why is live voicemail not activated on my phone?

Live voicemail is not avaliable yet in all countries. See this for further info

Live Voicemail is available only in English in the United States and Canada, excluding Guam, Puerto Rico, and the U.S. Virgin Islands.

See this link for further reference

Use Live Voicemail on your iPhone - Apple Support

In addition to everything WhellieNick correctly points out, Live Voicemail is a Carrier provided feature. You should contact your Carrier to see if they even support Live Voicemail, if you live in a country where it is supported.