Zorin OS does not come with system sounds. So if you want system sounds, you will need to download and install a sound theme. Swarfendor on here had made a thread at some point to links with some interesting ones as well as some hilarious ones.
Extract the sound theme and move the foo directory either to ~/.local/share/sounds or to /usr/share/sounds
In XFCE, open terminal and run
EDIT for Clarity: Replace "SoundThemeName" with the actual sound theme file name you installed.
xfconf-query -c xsettings -p /Net/SoundThemeName -s "foo"
You may need to add it to your profile: Open your ~.profile file and add the following lines to it:
GTK_MODULES="$GTK_MODULES:canberra-gtk-module"
export GTK_MODULES`
Install the needed packages:
sudo apt-get install gnome-session-canberra sox
If neither of these packages are in the repository, you can look for them in pkgs.org under Ubuntu 18.04 or Ubuntu 20.04 - gnome-session-canberra sox
Ensure that event sounds are enabled in settings, then reboot to test.