We have a Lync Hybrid setup, some users are onprem and some are online with Office 365. 
We were able to configure voicemail for onprem users, works without any issues. However when we enable UM for users homed @LyncOnline the voicemail does not activate. Is voicemail supported for Lync Online users? I could not find any detailed info on this. 

Thanks

Emin

Voicemail is supported in Exchange Online when hosted by Microsoft, but Enterprise Voice is not supported with Lync Online hosted by Microsoft, therefore you would have difficulty enabling UM in Exchange Online for users hosted by Lync Online as you've found.