Please note that iOS devices don't have this feature yet.
For the notifications you have two sound alerts. First is related with phone settings and second one is special alert setting inside the app (the horn sound alert).
If you are searching for the second one then you can access it (or check for active state) in the Settings. Settings icon is located in lower right corner of your app starting page.
After selecting "Settings" new window will open with options. So for the "Special sound alert" please check if you have the feature enabled (first field, if you see grey dot on the right then it is disabled).
If you click the dot on the right of the text - Special alert sound, you will activate it.
I hope this is the sound alert that you have been missing.
Best regards,
Sentinel team