If this is a policy driven agenda and its something you simply have to do, then you can of course just have the voicemail system email the helpdesk.

I understand the virtues of such a system, but instantly see a problem with the lack of metadata to fill in the incident fields with. This means you cannot populate the contact data with the incident, so automatic incident creation will leave the incident blank with the exception of an attached wave/mp3 file. 

No contact information (and the fact that through voicemail we can't feedback the incident number) means that  which means that follow on voicemails by that user would have separate incidents created. Also,  the user might also send an email after they've left a voicemail, thus generating another separate incident.

So, basically its a technology problem, and on the whole, its probably a lot more work for the helpdesk staff to  filter through blank incidents generated by the voicemail system and tidy those up (to ensure there are no duplicates) then just to listen to an answerphone and create incidents afresh. The helpdesk staff can always attach the wave file to the incident if a record of the initial call needs to be kept.