When I originally got my phone I was told to press and hold the number "1" to retrieve voicemail on the device. I didn't really care what this number was and only used VM a few times. I have since cancelled VM. I would assume though that it is a local call if you're in Canada, however, it may be billed as a long distance call if you're outside Canada - for example, the US or Europe?
I too cancelled voice mail a long time ago because of how I use my phone. I only turn it on and take it with me when I leave the house in case family members need to contact me, or I them. Considering the number of legitimate calls and texts, telemarketers leaving voicemail would probably use up more air time.