Just as an update to this. I have spoken to numerous people in Customer Services (including "supervisors") who have all assured me that incoming Voicemails are always charged. I have time and time again asked them to show me where in T's and C's it states this or at least to send this to me in writing, which they have not been able to do. In the end I just gave up even though my voicemail charges since starting the contract are substantial.
After a bit of casual browsing on the UK o2 site today I came across a page which is a summary page of rates for a particular country that I was visiting (Spain). To my suprise I see it clearly states "Receiving a Voicemail call" is FREE with o2 MyEurope Extra!
http://www.o2international.co.uk/Sho...2&UsageLevel=2
Anyhow to cut a long story short, this is now being investigated by the same team who told me I would be charged and I am getting all of my Voicemail costs reimbursed. If anyone else is in a similar situation and using any of the o2 MyEuropeExtra schemes from any participating country I would advise you to do the same!