Not that I'm aware of. I save my work related voicemails, and if they get forwarded to the watch I can't do that, so I try not to forward calls unless I absolutely need to get a call and I'm remotely connected. When not forwarding, at least with remote connection I get an alert with the caller's number, so if it's someone I recognize I can call them back.
I don't know if you're aware that you can retrieve your phone's voicemail from the watch, just not "visually", if you're not forwarding. Dial your phone's number, and when you hear your VM greeting, press #, then enter your VM PIN followed by #, and you can listen to your messages.