Using v2.4.0 here, so the menus might not be the same.
Did you check Tools > Mute Sounds (or Ctrl+S)
Then Tools > Preferences (or Ctrl+P) > Sounds > Sound Method
Mine was defaulted to Console beep, which I changed to Command and use aplay.
Then you also must check the Sound events you desire and give them a sound file,
and then Test.
Maybe you already did that, but it's not clear from your post.