If your voicemails are not playing on your Mac, change the default program to VLC to allow for playback.
1. Save the voicemail to your desktop. 
2. Right click (double finger click) and open Get Info
3. Expand the Open With tab, then select VLC from the drop down.
4. Select Change All... to change the setting for the future.
5. When prompted select Continue
6. Close out of all boxes and windows and play your voice mail again.
You might have to quit out of Outlook and open it again.