Welcome to the community!
If you weren't aware, the voicemails are not stored on your phone, they are stored on Fido's voicemail server. In order to manage your voicemail, you would need to call into your voicemail inbox. If you wish to delete the messages without listening to the entire message, you would press 77. Once the message has completed playing, you can delete the message by pressing 7 (see here under Managing your Messages).
Hope this helps 😀