This is a paid support service. I can help you, but there is a fee for my time. You are working with me, a phone expert, on justanswer.com.
For free help you can call panasonic and wait on hold for an overseas call center if you prefer.
There is more to this than just the setting, which will require a few quick diagnostic tests and some additional details.
If you prefer not to continue, let me know.
If you wish to continue, with the understanding that you have already paid for this service, per the terms you agreed to, please disconnect both power and phone line to the panasonic unit, then call yourself from an outside line, cell phone, etc, and let me know if you still hear that "voicemail has not been set-up" message.