Thanks Sarond!! In my case, I have configured it on MCD and did not associate that in MAS. After doing that I see MWI lamp gets turned on when I leave voice mail.
But sorry again to bother, I am not sure how do I turn off. I always login to voice mail from the specific phone (going into settings and choosing voice mail), to turn off MWI lamp. But I see using that way I could login only into the embedded voice mail and in NuPoint voice mail.