I've had the exact same thing with my old faithful Samsung GT-E1270. Was on the phone over an hour yesterday with Virgin, did all the leave message, retrieve it, delete it, remove battery. No difference. Then they reset my Voicemail - using a new number now needed following an update of their Voicemail - and was told to try again after 24 hours.
Did that, but its still the same. So I just phoned again, and eventually was told by the man I spoke to that he'd had had several calls about this today First of all he said it's part of the new Voicemail - that the icon shows that Voicemail is switched on and the icon will change when there's a new message. But when he phoned my mobile and left a new Voicemail message there was no difference at all. Then he said that the Technical people are aware and are working on it, and to try again in 5 working days.
I don't use the phone that often, but now I have to check it daily to see if there really is a new Voicemail message, even though I'm pretty sure the voicemail box is empty.
I'm having the identical problem. Thought I'd solved it yesterday when a friend with an old (non-Smart) phone was here and I put my sim card in his phone, left a voicemail and deleted it. That cleared the icon. Hooray! But, back on my phone I've received a voicemail this morning and the icon's back in residence even after deleting the message.
I'd be very grateful if you could let me know how did you manage to get yours to clear and stay away.