Not always. I have a weird bug with my iPhone where I'll receive voicemails, but the phone itself doesn't ring - others have reported this too (whether it's an O2 UK problem or what, I don't know).

Thus it's actually really useful for me to know if I have a missed call or a voicemail that never rang through. It also confuses the hell out of a system that'd try to guess which missed call the voicemail belongs to...

Its definitely not a UK problem - happens here in SF w/ AT&T usually in my house when I can't get a signal ;-)

99% of the time, that red dot is either a 1 or a 2 on my phone.