In a Walkie Talkie conversation, a voice message you have not played has a red dot in its bubble beside its length, as well as Not heard under it.
Fixed in the Magpie app: after turning on Live, or after a message such as "Message saved", Play unheard did not show above the Talk button when a new voice message arrived. A new voice message now always brings it back. In the app's conversations list, a conversation with new messages has its name in bold and the count in red, as on the website.