It's all been said, it is your responsibility to ask for the phone to be deactivated. Since you were inquiring about keeping the VM active and/or immediately replacing it, the rep could not automatically assume that you wanted the phone deactivated.

Why would someone not deactivate a lost phone? Many times it's just that, lost, and they think they know where it is. They don't want to go through the hassle of deactivating it and re-activating it again. I run into this all the time at work especially with my sales reps. They lost their phone but think they left it at the last customer's house. They don't want to lose any sales calls so they don't deactivate it.