Bumping this thread, as I have the same issue - am running the 3510 on the latest firmware and cannot find any option for setting these up.

Just rang the support number who confirmed that this feature is on the "wishlist" but is not implemented, and there is currently no timescale for this.

This seems to be contradictory to the information posted at http://www.draytek.co.uk/products/vigorippbx3510.html ...

Individual extensions all have their own voicemail (answerphone) facility. You can record your own message and then callers' messages can be listened to when you return to the office, or emailed to you wherever you might be.

I think it means literally that you can record your own message (true) but that it's the same message for all extensions...however I think the timescale for making it one for each extension is within 2-3 months.

As far as I know, it's in the next firmware which will be available within the two weeks or so.