The system lets you manage your voice messages using either your phone or by accessing your email.
If you delete a voice message on your phone, the corresponding email is moved from your Inbox to your Deleted Items folder.
When you read an email containing a voice message, the message is deleted from your phone. Note that it is only necessary to open the message to delete if from your phone--it isn't necessary to actually listen to the attached file. Be careful if you use the Reading Pane on your email Inbox as doing so may automatically delete voicemail messages from both your email and your voicemail.
When you move a voice message from your Inbox to another email folder--whether you've read the message or not--the voice message is deleted from your phone.
If you move a voice message from an email folder back to your Inbox and then mark the message as unread, the message will again appear in the voice mailbox of your phone.