If you have a paid version, this feature is available. It is called MWI, message waiting indicator. It is auto-provisioned, or there are instructions for setting it up here:
3CX can show that the user has new voice mails waiting via the MWI light. To enable this, go to the Extension 1 property page and enable MWI by choosing the "yes" option from the drop down menu.
Linksys supports MWI only for the 1st extension configured on the phoneset.
I believe that'll get it going for the spa962, although it was meant for the 921.
Let us know if it works!