Voicemails (as MP3 files) and eFaxes (as PDF files) can be shared or downloaded using a variety of Android options and apps. The available sharing options depend on your Android system setup and installed apps. Google native apps (such Gmail or Drive) should always be available.
To download the file you need to select a file manager app. If the native file manager on your device is not displayed you need to install a 3rd party file manager like Cx File Explorer shown in the example here.)
To share or download open the voicemail or eFax, tap 
on the top-right, and select Share. Select a sharing option and tap JUST ONCE or ALWAYS.
If you select JUST ONCE the list of sharing options will display the next time you share a message. But if you select ALWAYS any future message will be shared with the option you just selected without the list being available.
So what can you do if you want to change the sharing option?
To do that you need to go to your Android settings and select Apps>[the app you have selected to Always share with. For example "Gmail"]>Open by default>CLEAR DEFAULTS (under the Other defaults category.)
The sharing options will become available again now.