With an unlocked device you typically have to manually configure carrier provided services.
Open the phone app.
Click on the 3 dots menu.
Click on Settings
Click on Voicemail.
Configure the Sprint voicemail settings.
This is Samsungs fault. They are forcing people to use their voicemail app that requires the use of data. This is a low and dirty manouver and should be fixed immediately. There are many other apps that can do the job without the use of data. This is basically a monopoly and forced use of an app that imposes additional costs onto the users. No other voice message app will even work. Please fix this problem Samsung. This is not cool and forcing people to use data for a feature that has apps that dont use data is low and dirty. At least add a feature for basic voice mail logs and notifications so people know when they have a voicemail without use of data even though visual voicemail doesnt work without data. This is a huge fault of Samsung and it needs an immediate fix.
We would recommend you speak directly with your Carrier for assistance, As voicemail is a carrier enabled feature and you would need to speak with them directly for further assistance.
Hope this finds you well!