There are Notification sounds to select from . By Default the Notification sound is "default" which seems to not make any sound.
Steps 1.Go to " Settings" 2. Select " System "
then scroll down to " Notifications & Actions" 3. Go down to the section " SHOW NOTIFICATIONS FROM THESE APPS"
This is where you should find all the Apps that you selected to be notified of like Cortana , Messages Facebook Etc... Now the names of the Apps are Highlighted right?. Just TAP on the Name of
the Highlighted app and this will open up the menu to select the Ringtone / Notification sounds that are available