To my knowledge this is a flaw of many GSM carriers. Voice mail works by transferring incoming calls not answered back to the network and routed to the voice mail access point for the network.

When you are overseas and turn on your phone, the local cell co tells rogers that you are on their network. When you don't answer the phone, the local cell co transfers the call back to rogers but can't send the info that rogers needs to send it to 'your' voice mail. It is stripped of the DNIS info that is needed to play your greeting. Basically, rogers is handed back the call but doesn't know who it was for anymore. So they send it to a generic voice mail box that asks the caller to enter the subscribers number they were trying to reach.

If you want to be sure to get your voice mail, you can try to fwd your incoming calls to another Canada local voice mail you may have (office, home). You can change your call fwd setting while abroad - something that could not be done using TDMA on rogers.