A bit of search finds this page: "Our On-Account customers can request an extra level of security where the system prompts you for the PIN you've set; call Customer Service if you wish to have this activated."
Yes, not as flexible, but it's one action only. But the @VodafoneNZ Twitter team doesn't know about it:
@freitasm This is not available for voicemail, Best option would be to add a sim lock or phone lock to enhance phone security. ^SC
— Vodafone New Zealand (@vodafoneNZ) July 1, 2014

