It could be a number of problems. If you are testing it from an IP set then a number of things would come into play like Network, DSPs, etc.
Are there other TDM resources in the Gateway containing the MGATE? If you have a FALC or DLC put it in that gateway connect up a phone and call the VM (No IP involved) see if you get it then.
If you still don't get Voice prompts run through the full Config wizard again, paying attention to the DSP (Callpilot normally automatically allocates these) and Switch information an reload the languages.