By default Cisco Unity Express only reports the called number in your message for internal calls.
It’s quite simple to change this so that all calls (where a number is available) have their numbers reported.
Router# service-module service-enable 1/0 session
Trying 192.168.n.2, 2066 … Open
se-192-168-n-2#
se-192-168-n-2# conf t
se-192-168-n-2(config)# voicemail callerid
se-192-168-n-2(config)# end
se-192-168-n-2# wr mem
se-192.168-n-2# exit

Session closed

[Connection to 192.168.n.2 closed by [...]