ok so when someones phone says this person has a mail box that is not setup yet. is that usually a new phone number?

I believe that is the case. But then again it could also be a new phone with the same number and the voicemail hasn't been set up yet. Just guesses, mind you.

Or they're lazy. Or it's intentional. I have a friend with a gambling addiction/ serious debt and she has no voicemail because of collection calls.

No, I have had the same phone for at least a year and I have never set up voice mail.

Not necessarily, they might've deactivated it or never had set it up.

No. Some people are lazy.