Since you have UM my favorite is to add the mailbox for that shared voicemail account to those users's Outlook client. Everyone would see the inbox, what messages have been read/unread, and can play them with ViewMail. This requires that you grant those users permission to the Exchange mailbox and then add the additional account in Outlook.
Another option would be to set their ICD lines as alternate MWI destinations but this doesn't scale well. You can only have 10 MWI destinations per mailbox I believe.