I don't believe that visual voicemail on a phone that's hosted on PBX2 will work to the EVM that's hosted on PBX1. However, the voicemail should light the lamp on the phone hosted on any of the clustered systems.
The EVM uses Dialed Message Waiting feature access code - to test this capability (and troubleshoot it until you get it working) put a phone (on PBX1 (the one with the EVM) and dial the feature access code MWI ON, along with a local extension. Then turn it off again.
Repeat this to a phone on PBX2.
Check the COS for voicemail, IP trunks, etc until you get the MWI to come on and off when you dial it.
10.1 is new enough to support many walk-throughs. and the Embedded help is quite helpful.