Several people have reported issues with the default install of Pidgen being unable to play any kind of notification sounds.
While I'm not sure of the root cause of this, there is a relatively simple fix:
It should look like this when you're done:
Select one of the enabled events and click Test to see if it worked.
Note - Some have also used the following command instead:
aplay -q %s
play %s doesn't work for you, try
aplay -q %s. They are simply different applications that both play sounds.
Also, be aware that some of the default sounds are very quiet. Make sure you max out the volume while testing to be sure that it is or isn't playing.