Hi Jad,
I beleive this only works for direct calls;
Configuring Caller ID for Incoming Messages
Cisco Unity Express supports caller ID information for incoming voice-mail messages.
When receiving an incoming voice-mail message from an external caller, the system attempts to match the associated caller ID information with an entry in the local directory. If a match is not found and the system is configured to play caller ID information, the system plays the sender's telephone number in the message envelope when the recipient listens to that message. If the system is not configured to play caller ID information, the system plays "Unknown Caller" in the message envelope.
Cisco Unity Express does not verify that the caller ID information is valid. That function is dependent on the central office (CO) and the incoming trunk setup. Additionally, the local system plays caller ID information for Cisco Unified CallManager Express or Cisco Unified CallManager extensions that are not configured in the local Cisco Unity Express directory.
***The default caller ID status is disabled. Use the GUI Defaults > Voice Mail option or the CLI command described below to enable or disable playing of caller ID information.
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Note An external call is any telephone number that is not listed in the Cisco Unity Express subscriber directory. Possible sources of external calls are the local telephone company, an IP telephone, or an H.323 gateway. These sources must be configured to present caller ID information to the Cisco Unity Express system.
Use the following Cisco Unity Express configuration mode command to enable the playing of caller ID information in the message envelope of incoming external calls.
voicemail callerid
The following example illustrates enabling caller ID information on local system:
se-10-0-0-0# config t
se-10-0-0-0(config)# voicemail callerid
se-10-0-0-0(config)# exit
From this doc;
http://www.cisco.com/en/US/products/sw/voicesw/ps5520/products_administration_guide_chapter09186a008067796b.html#wp1081772
Hope this helps!
Rob
