Further information: I can hear voicemail left via internal call, or when I set the external call directly to one extension.
The only case which I cannot hear voicemail is when I set auto attendant for external call and transfer to extension.
Does this mean the built_in AA scripts (aa_sbcs_v02.aef, aa_sbcs_v03.aef, aa_sbcs_v04.aef) have problems?