My understanding is that with iPhone Live Voicemail, the phone itself answers the call and starts transcribing it in real time. So if you’re roaming, this should count as a roaming incoming call.
For regular voicemail, your line actually “calls” the voicemail system to deposit the message, so that part should be considered a roaming outgoing call.
If you’re diverting all calls to another number, e.g., an Eight number, then the primary SIM should not be registered / connected to a roaming network. If not, roaming charges will apply.