That's what it's supposed to do. I'm currently using a Palm Pre (so forgive me if I'm out of line on providing tips for an Evo I don't even have yet haha) and I've been using Google Voice for my voicemails since I've had a GV account. When you dial the number and press send, it's supposed to beep three times and then hang up. That's the confirmation informing you that the changes are active. If it isn't activating correctly, you actually will get an error message.
...at least was the case with my Pre when I activated Google Voicemail on it.