I had the same Issue you describe above.
I think it is a kind of bug, whatever.
In my case I´ve fixed it by reading the documentation, by editing the xml file that follows
..."The file is called 'Config.xml' and is
located in the %APPDATA%\Zoiper folder. (This usually translates to 'C:\Documents and Settings\Current Windows
user\Application Data\Zoiper'. "...
I had to add the "Voicemail extension" number manually in between the corresponding tags, the same situation with the values of "To Voicemail" field. Then I saved the xml file of course and finally I've restarted the zoiper app.
Even you may not see the changes in the gui of the app, no matter, the changes applied (in my case) are working like a charm.