Set up your Voicemail 

Click on your initials/profile image in the top right corner of the Teams app and select Manage account.

Choose Calls, and under Voicemail, select Configure Voicemail.

Select Record a greeting to set up a custom voicemail message. Alternatively, you can use the text-to-speech option and type in the greeting message you want to be played. 

Check your Voicemail

Go to Calls  >  History and then select Voicemail. Here you can view to your voicemails.

You can call them back by hovering over the voicemail and selecting Call or selecting More actions and Call back .

By selecting the voicemail you can view more details and also see the transcript if it is available.