You would need to put a mw505 key on the keyset(s) where you want to see the messages.Yes the light will flash and show messages on the sets.
Or you could autoforward the message in mailbox 505 to one of the extensions mailboxes.That would require you connecting a pc to the voicemail system and a little programming.

To be honest it sounds like you had it working when you set the next port to 509 with the line ringing the 505 group.You said it went to say a 505 box but there wasn't one.Maybe there was and it was just playing the default greeting?