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Recently purchased a SONY XA1 Unlocked Cell phone for travel and use AT&T as my carrier in the USA and had trouble getting the AT&T Visual Voice mail to work. I contacted with AT&T virtual assistant about the problem and gave a technician my IMEI phone code and ask them to provision it on the AT&T VOICEMAIL server and they did. I then downloaded the app and tested it and it worked great. I was getting a error code before and told by a previous AT&T support person that my phone could not be used with the visual voice mail AT&T app which was false. Ask the tech to provision your SONY on the VOICEMAIL SERVER first.
You will have to contact AT&T again, let me see if I can set it up and I'll report back
https://www.att.com/esupport/article.html#!/wireless/KM1009152
I just downloaded the app > accept > accept > accept > waited for the text message > it's working.