Depending on how the system is programmed, you could log in as the system administrator and create a mailbox on your extension. That is administration level programming and you should have documentation on how to do that, including your system administrator password.
Creating mailboxes does not require a technician visit, however your system may automatically delete the mailbox if the system was programmed to remove the mailbox during its midnight diagnostic maintenance. This is done to remove mailboxes not required to reduce toll fraud exposure.
In order to be able to use the #XXX functionality, you must have a mailbox on the phone as Marc had mentioned. Log into the voicemail system administration and add the mailbox to your extension in question, and see if that fixes it up. Let us know how that goes.