Your voice mails are saved both in Skype for Business (Lync) and Outlook. You can quickly check them in Skype for Business (Lync) and choose one of the options to manage your messages. When you have new voice mail, the Voice mail icon displays the number of messages.
To check your voice mail:
Tap the Voice mail icon at the top of the screen. This will open a new view on your device.
Find the message you want to listen to, then tap the Play icon to hear the message.
To exit voice mail, press the Back button.