A tone isn't necessary for a private message. We have a pop up window that notifies you as well as an email that can be sent to the email address you have associated with your account. If you have a pop-up blocker set it to allow this site. As you can see in the just the visual design of the place, we like to keep it simple here... not turn the forums into some AOL clone. This suggestion gives me shudders just thinking of the infamous "You've got mail!" sound clip.
Just keep an eye on the top right section if you're that nervous about missing your PMs and while I'm we're on the subject, remember to backup/delete old messages to help save server space on the site.