If your phone rings abroad, and you don't pick it up, and the call goes to voicemail, they charge you for an incoming call and for an outgoing call. Even if the caller doesn't speak on your voicemail, you are billed at least 1 minute active + 1 minute passive.
Assume you're an Austrian, and you miss 3 calls while in Montenegro, that's 20€ in unexpected charges.
http://en.wikipedia.org/wiki/European_Union_roaming_regulati...
Edit: I just realized Montenegro is not in the EU yet, so you may be right!
Then there's something wrong with your operator. Roaming charges are for the "international" segment: from home, to the country you are, and from the country you are to home. That's why you pay extra to make calls, and that's why you get to pay when you receive calls.
But it's also "opt-in": you only pay for what you accept. You won't pay for SMS because you can't elect to receive them or not. And, if you miss, or reject a call, it goes to your voicemail. And the voicemail is in your country operator's. So, of course, you won't pay. Unless you have a weird phone and the voicemail is in your phone. Then turn off your weird mobile phone.
It's result of a quirk of how voicemail calls get routed: If you set up call diversion to your voicemail with your network, you'd not pay anything.
But if you fail to answer, or divert calls to voicemail with your phone, the calls would get routed to the network your phone is active in, you'd fail to answer, and the call would get routed back by the operator you're roaming with, rather than having that operator somehow just signal that the calls should be diverted at source, and you'd get to pay for the pleasure.
At least that's the excuse the operators used. Of course it was particularly shitty that they'd charge people extortionate rates due to shortcomings of the way they do call routing.
Probably something intentionally made by your operator — but in Spain, I don't know of a single mobile operator who does not route voicemail at their own network level.