When setting up Exchange Online Voicemail for Skype for Business users On-Premises you need to configure Exchange UM Online. As part of creating the Exchange UM Online Dial-Plan you chose an Audio Language.
When Enabling the mailboxes in Exchange Online with Exchange UM Online you have to select the Dial Plan which includes a default Audio Language
Now when the user calls His Voicemailbox or anyone leaves a message the English Language is played regardless of what Language is selected for the Dial-Plan. So this is not working the same way as on Premises Exchange Server integration which does look at Dial-Plans.
The solution to get another Language for the Voicemail, the actual User has to change his Language settings in the Outlook on the Web configuration
Options/ General / Region and Time Zone
After this change Voicemail is set to NL.
Note: One of the important reasons for to have different Dial-Plans on Skype for Business Server and Exchange Server is setting different languages which is clearly different in Exchange Online.