I have heard of others having this issue as well. I BELIEVE this is a bug in the software of iOS 6. My number is a ported number from AT&T, and my backup came from an AT&T iPhone 4... When I setup the iPhone 5 as a new phone, it figures out the voicemail. When I restore from backup, it can't figure it out...
Come on apple.
I found that this was an issue (when I setup my iPhone 5) was solved when I went in and reset the network settings.
It seems that somehow the provider network settings weren't quite right:
Settings -> General -> Reset -> Reset Network Settings
After resetting the network settings, everything just worked again.
Perhaps the same thing can correct the issue for you as well. (worth a shot)