Setup voicemail on Google Pixel Watch.

You cannot set up voicemail on a smartwatch.

I know it can be set up for an Apple watch that's in standalone, but it has to be done through the service provider.

I cannot confirm whether or not it is available for an Android smartwatch. You'll have to talk to AT&T. You may talk to several people before you get somebody who knows what the heck you're talking about

Printed advertisements for Google Pixel Watch say that it can receive calls on LTE while away from the cell phone.. Mine won't because voicemail problem.

g.co/pixelwatch/networkinfo says "If you choose to activate a 4G LTE plan for your Google Pixel Watch LTE, your watch should connect directly to your mobile carrier. Your watch and your phone must use the same carrier. Stream music, make and receive calls and text messages, and contact emergency services without your paired phone nearby." See it says RECEIVE calls!

The voicemail box is set up on the phone. The phone and the watch share a phone number, and a voicemail box.

If you have set up the watch correctly to numbersync with the phone, any calls received either need to be answered on the watch, or if they go to the voicemail. You would have to call your voicemail from the watch to listen to voicemail 

https://www.att.com/support/article/wireless/KM1061514/

OK. Found the solution. --- Before activation, my messages app was "Messages by Google". It was setup as the default. After activation, a second messages app appeared. It was "Messages SMS App: Messenger". It's icon has three dots in the center. --- Until now, I ignored it. I opened the the new-to-me app. It asks me if I want to set it as the default. I said yes. Voilà . The watch works nice. I disconnect the watch from the phone by shutting off the BlueTooth and WiFi. Incoming calls ring on the watch only and I can pickup and talk. Incoming text goes only to the the smartphone. --- I guess the guy at the ATT store skipped setting up the new default when activating. --- I'm happy.

Please confirm you're getting both calls and texts on the watch while you're away from your phone or the phone is off? If not the number sync is not been set up properly for the watch to function away from your phone

I now receive calls on the watch both ways: connected or disconnected. --- The voicemail doesn't work yet. I will put some time on that problem in a few days. I will have to read up on number sync first. --- If have two contact apps too.

Again voicemail is set up only on your phone.   You do not set up voicemail on the watch. You cannot set up voicemail on the watch.  

Once voicemail is set up on the phone, callers can leave a voicemail when you don't answer.

In order to access your voicemail from the watch you have to call and enter your pin code to listen to voicemail

AT&T Messages Backup & Sync is NOT compatible with Samsung Galaxy S21 Ultra 5G. My voicemail goes to AT&T Visual Voicemail. 

AT&T messages back up and sync backs up your text messages from your phone which would be identical to the text messages sent and received from your watch.

It has nothing to do with voicemail.

https://www.att.com/features/backup-sync

If you have set up number sync correctly, it is already syncing messages between your phone and your watch.