ComedianMail is a legacy subsystem, when a box is created, it does not create the directory structure under /var/spool/asterisk/voicemail/{context}/ until it is used for the first time as such there are no default message files or greetings, what you see is a prompt to so create them.
Quite true, if you set the password otherwise, it should be so honored and that query will not be presented and the password you chose so respected onward, if you set it the same or not set it all then . . .