Smart AI includes Behavior Transitions settings for each behavior this allows you to play an animation or sound when an AI starts or ends a specific behavior type.

You can find these settings by going to the AI character blueprint such as the BP_Zombie then select the BP_AIComponent in the Component panel, then in the Details panel search for Transition. Here you can set Transition animations and sounds for each behavior.

For example if you wanted the Flee behavior to play an animation when it starts you can add an animation to the Start Montage setting in the Animation Behavior Transitions setting in the Flee Settings category like the image below.

You can add multiple animations and sounds to these setting and one will be selected randomly when the behavior either starts or ends.