This post was in response to a now banned user who was posting questions copied from other users
You have probably not enabled the external microphone you are connected to so are recording the internal mic. See https://forum.audacityteam.org/t/how-to-record-voicemail-to-laptop-without-line-in-audio-jack/43482/3 for how to enable devices and methods to transfer rather than record.
Also in iOS 9 and later you may tap the Share button in a voicemail in the voicemail interface and choose an app
to share with to save an M4A file. Then sync with iTunes in the usual way.