Saara, there is another location where the icon is stored. On my 8330 with Sprint (not sure if other providers have a different set up), there is an icon for emails that looks like an envelope with a globe on it. I read my emails there. There is a second icon that resembles the email icon but has no globe. If I've missed a call, after all the emails have been read there will be a missed call notification in that folder. When I delete it, the extra email notification goes away.
Voicemail notification is in the SMS folder. Deleting the voicemail itself won't delete the message in the SMS folder, you have to open it and delete the notification there.
At first it was a bit of a pain, now I just figure the 'berry wants to be really sure I know about ALL my messages.