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You refer the to voicemail in the voicemail-context default in stead of your VoiceMail-context.
This should be
exten => _1001,n,VoiceMail(1001@VoiceMail,u)
Small detail: there is no need to type _1001 as extension. You could use 1001 as well because there is no pattern in the extension.
Oh how silly I’m thank you that do the job.