Hello Joao,
forget the warning while starting SEMS, they are not so important.
Please the configuration parameter 'ser_fifo_name' within your Sems config file. It should point at the second Ser's fifo server, that means, the one you configured within voicemail.cfg. Else, Sems is trying to communicate with the first instance (the proxy one), which didn't load the vm module. That means, it should work if you change that value to '/tmp/vm_ser_fifo'.
-Raphael.