If your other Backup data is loading, and it's just voicemail that's blank, you most likely need to enable visual voicemail on your iPhone. If you are dialing in to listen to your messages, then they aren't actually stored on your iPhone, and the voicemails are only on your cell provider's server.
Once you enable visual voicemail and get them downloaded to your iPhone, then you just need to refresh the backup in iExplorer to see them. You can do this by right-clicking on Backup in the left panel of iExplorer and choose Back Up Now.
If you don't have visual voicemail on your iPhone and would like to find out about whether you can enable it, most cellular providers offer it. You can view information about your country and provider in the AppleCare article below:
If you are certain that you do have visual voicemail on your iPhone and you are using a Mac, please make sure you are using the most current version of iExplorer by clicking on iExplorer menu > Check for Updates. Version 126.96.36.199 fixed an issue where voicemails weren't loading for some people on a Mac. If you are are on the most current version, please try some of the steps in the article below for how to fix visual voicemail issues on your iPhone:
If none of your Backups data is loading including Contacts or Notes or if you receive an error, please look at this article: Why is my Backup data not appearing?