You need to call the number again and get them to send you the application form in the post.
I don't know why they told you that you didn't need one and to wait to be employed because you should only need to show that you are looking for work in order to get one... and also, some people apply for an NIN for other reasons than working.
While you can start working without an NI Number (you'll just get taxed at a higher rate until you get one), most employers ask for it during the application process, so it's better to get one before you get a job.
Normally, if you have been issued your visa outside the UK, you should not need to attend an in-person interview (which is basically just them filling out the form for you)... but it has been a bit hit and miss lately and some people have had an interview, even though they have a spousal visa.
However, keep trying, because you did the right thing by phoning.
See here for applying for a NIN, which does need to be done by phone:
https://www.gov.uk/apply-national-insurance-number