My mother has this feature (in UK). The first time you call, it will send you to the voicemail and ask you to state who you are. Then she gets a notification and can listen to the message. If she phones you back, the number you are calling from is whitelisted. I think she can press something else to blacklist you, otherwise you stay in the grey zone and will always go to the voicemail. I think she has had a couple of people not leave a message several times and eventually blocked them where she would have been completely happy to speak to them if she only knew who they were..
Be careful calling back. I had a friend who called back what turned out to be a Wangiri Scam
http://www.three.co.uk/hub/earth-wangiri-scam/
The call-back cost him ~$4 in long distance charges.
I'm not sure why you're being downvoted for this. My in-laws have this feature on their landline from their local telco. Completely annoying, but I don't want to talk to them anyway.