It might have something to do with the format of the file (ADPCM?), and the application that will play it. Is there one available, has it been set to play that type of file?
All the Voice Mail wav files are stored on the server. The "Play" button gives the options to download it from the server and play locally on your PC and the "Play on Phone" will ring you you back on your extension from the system and play the message for you without saving it locally.