At the times I would expect to hear a system sound, I just get a thump sound. The speaker test thing works, youtube videos play with normal sound via brave. I thought they were there when I first set the machine up, but maybe not, I was sorting out other things......
Zorin has only a few system sounds.
Do you have enabled sounds at settings > sound and there set a sound for the alerts?
The sound at system start (startup sound) you can enable at startup programs.
It's a little easier to configure system sounds in the Cinnamon or KDE Plasma desktop environments.
I tried to get custom sound themes to work in Zorin, but only some sounds played, many did not.
See if this lengthy LM Forum post helps (I didn't know sound had a power-save function!):
There is not much System Sound. Mostly only Warntones. Like @Forpli already wrote, You can set up a Tone in the Settings:
There is not much Choice but because You don't hear it often it shouldn't bother too much I guess.
I had no idea Zorin 18 had sound, especially the Desktop Login sound.
I'm on Zorin 17 and the only sound I hear is when I insert a flash drive.
That are the sounds of the Zorin sound theme which you find at /usr/share/sounds/zorin/stereo. On my Zorin 18 system I don't hear all of them, e.g. empty trash is not played.
I'm not sure if really all are implemented for special actions.
In Zorin 17 it is similar.
You could be right. I don't think many of them play at all. The only one I hear on my Zorin 17 is when I plug in a thumb drive or SSD.
The YouTube comment mentions too that not many sounds are heard.
I booted Zorin 18.1 Live and the KDE Ocean sound did play when selecting "Live" or "Install". However in the video it says the Ocean sound plays when Logging in. 
Open startup applications click add then make it look like this
the command line is
/usr/bin/canberra-gtk-play --id="desktop-login" --description="GNOME Login"
this will play to default startup sound will also play it when you log back in as well
make sure to hit save ....lol
If ya want to use your sounds we will start another thread and ill help whoever to do that