I don't use Anveo, so I have no experience using their implementation of message waiting. Perhaps somebody else here is an Anveo customer who has dealt with this.
The administration guide describes the operation as I mentioned, but I just now tested it with Callcentric: I left a message on my CC voicemail. All of the ATA-attached phones and IP phones have their VMWI lamps on. But, the MessageWaiting flag isn't checked. It's probably controlled by the ITSP, who ought to be able to reset it for you.