For mwi to work you have to set to NO. Yes it is strange but just tested. This phone does not need a SUBSCRIBE to MWI and therefore it is very misleading. Setting it to yes will have the MWI light remain ON constantly whether or not you read the voicemails or not.
I am using a 941 at home... the 921 guide should be adequate to setup registration.
The only difference I found is that there is only 1 entry for the 3CX server address on the 941, instead of 2 (the extra one in the 921 menu being for outbound proxy)