I don't think that the SDK will allow apps to access the voice mail data. This kind of an app would probably have a very limited user base. Unlike e-mail, I don't think that many people want to store every VM they have ever received.
Assuming that you don't keep a permanent archive, the current UI works out pretty well for what you are asking. Unread VM's are flagged. If you are done with a VM delete it, important VM's will stay on the main VM screen. "Deleted" VM's are easily retrieved until they are manually cleared.