As you know I am a noob, but I expereince this too. I had just put it down to inconsistencies in my PC platform, but there probably is another reason.
Alert + sound

Kingtrader, I figured it out! When I'm here: http://www.chess.com/echess/myhome instead of in the list of My Current Games the page refreshes itself regularly and I do hear a sound when it's my turn in any of my games.
I hope that helps you as well :)
Could someone please explain to me how the alerts work? I don't mean the emails but the alerts when I'm on the site.
When I'm in a game and leave the game open after I moved, I will hear a sound when the opponent has made his or her move, even when I'm visiting another website. The tab tells me it's MY MOVE!!! until I make my next move.
For some reason I also expected this to happen when I'm logged in and it becomes my move in one of my other games. Say I'm playing in game 1. I leave the tab with that game open. After a while my opponent goes offline. Meanwhile my opponent in game 2 has made a move. I won't notice this until I go to my games list.
Or when my games list is open, I need to keep refreshing it to see if anyone has actually made a move.
I think I expected the page (either a game or the games list) to refresh itself every so often, so that it can tell me it is my move in one of my games. I probably also expected there to be a sound when that's the case. Are my expectations wrong or is there a setting I should change?