I believe that varies by service provider. I have Tmobile visual voicemail, but I see some for other carriers in the Play Store as well. I'd check there and then contact your carrier if you still don't find anything
"Does anyone know if the S21 ultra has visual voicemail feature? If not, Samsung really needs to add that feature to all of their phones."
Voicemail is a carrier feature. Contact your carrier and work with them to get it set up.