The Themes have to be in /usr/share/themes to get them available in gdm-settings. When they only in the home Directory, there are not detected.
Also, on Zorin 18, You need to install the Package libglib2.0-dev-bin with gdm-settings.
I also tested the sound themes and had the same problem as you. It didn't help to put the themes to /usr/share/sounds and to set the sound theme in gnome-tweaks. I also tried the flatpak, but not better there. The Appimage version 5.0 didn't launch , I had to run this commands to launch it
cd ~/Downloads
./GDM_Settings.AppImage --appimage-extract
./squashfs-root/usr/bin/gdm-settings
So, you had more success than me. With disabled startup sound, it didn´t work at all. On my system, always the Zorin sound played (I haven't tried to remove the Zorin sound theme or to change the permissions), just tried to enable the yaru sound theme with gdm-settings.
But setting up custom sounds in Zorin is always really difficult in my experience.
The guide from ubuntuhandbook works to set a custom login sound.
You can add this command to autostart programms and disable the Zorin one if it is enabled.
/usr/bin/canberra-gtk-play --file="path/to/audio/file" --description="play_sound_at_login"
e.g.
/usr/bin/canberra-gtk-play --file="/usr/share/sounds/Yaru/stereo/desktop-login.oga" --description="play_yaru_sound_at_login"
What I really wanted to achieve was the "Welcome, please identify yourself" at the login screen. I did get the login sound to work from that sound theme from Ultimate Edition Oz by just swapping out the sound file in /usr/share/sounds/zorin/(stereo?).
In that video I made it used the original ubuntu theme that would play a "drumroll" at login.
So, You want this ''Welcome, please identify yourself'' as a Note or some kind of Banner Message on the Login Screen, right? There is in gdm-settings the Option to set a Welcome Message at the Login Screen:
No it's an audio file. It would be nice as an accessible option as opposed to a robotic announcement using Orca.