You should get a notification on the lock screen yes It should tell you the #, and a missed call, and if there is a voicemail message. Once you unlock the screen the notification is gone and the only reference will be the phone badge as talked about in the above post.
MacBook Pro, Mac OS X (10.8.3) 2.4GHz IntelCore i5 320 HD 8GB RAM ParallelsDesktop8.0 iPhone5_iOS6.1.2
The phone badge does not seperate out missed calls and messages. ex one missed call plus a message from the same caller still gets marked as 2. It could of been 2 missed calls no messages.
You do not see the whole story until you open the phone app and it is clearly marked.
And yes that notification of a voicemail will stay there until you listen to it.
Wow. Never realizeded that. The red dot is always there
Reason that wasn't useful to me until no was that i had let old voicemails that I hadn't listened to for one reason or another pile up so that number in the red dot became meaningless to me since I did not keep track if it went from 38 to 39, say.
So now I listened to all of them and erased many so that the number in the red dot is reset to 0 - actually there is no red dot at all, but once I do get a new voicemail it will reappear. Now I just have to train myself to look for the red dot with number in it as an indicator of new unlistened to voice mails.
That other nifty feature that has a new voicemail appearing on the lock screen - I bet that's an iPhone 5 or 4S feature. I have an iPhone 4.