Unfortunately, from what I understand, Visual Voice Mail requires AT&T software (or at least AT&T provisioning) to be flashed into or pushed to a phone for Visual Voicemail to work. That is available on the AT&T retail Lumia 950s, but I have not found anyone who has been able to get VVM working on AT&T yet with an unlocked Lumia 950 or Lumia 950 XL.
PepperDotNet -- the Lumia 1020 was available through AT&T, so I suppose it is possible that they provisioned your unlocked device expressly to support it. But after searching a lot of forums and reviewing information from both AT&T and Microsoft, it seems that getting VVM to work on a non-AT&T phone is an exception to the rule.
I would really love VVM (and HD Voice if possible) on a Dual Sim Lumia 950. Would be awesome! If anyone is able to make this combo work, please let us all know.