Is it playing back via the earpiece, or via the main rear speaker? If you're listening to your voicemail after calling the voicemail number, and don't have the speakerphone on, you typically have to take the phone away from your ear in order to adjust the volume, since the proximity sensor may be locking out both the screen and the volume control when it's against your ear (at least, this is how it is on my Razr Maxx).