PRIMARY MESSAGE NOTIFICATION is the feature that calls your cell and says you have a message, asks for your pass, and plays the message.
The lamp that lights is determined by the MESSAGE NOTIFICATION PHONE field. By default, it's the associated station phone...can't be changed. For non-associated mailboxes (hunt groups etc.) you can put a number in this field. Are these Mitel digital or IP phones? Message lamp won't work for analog devices. Do you find the messages in the mailbox? If E-MAIL SYNCHRONIZATION is set to FORWARD ONLY the messages aren't stored on PBX at all.