You can set notification sounds that will play when the player receives a message using the Message Sounds in the Class Defaults of the BP_CGGControllerComponenet blueprint. Here you can set the message type and the sound that will be played when that message type is received.
To add a new sound just click the + button next then you can set the message type and the sound. To remove a message sound click the down arrow next to the sound and select delete.
NOTE – When testing in editor with multiple player remember that sound only plays for the player you are currently controlling. So if you send a message to another player and the sound doesn’t play it because you are still controlling the player that sent the message. To test you can replace the default sounds with a long sound, that way you have time to send a message to the other player and tab over to control that player and the sound if long enough will still be playing.