I'm using nagstamon 0.9.9 on Windows XP. The sound notifications only play a pc speaker beep and not the default nagios sounds nor the custom sounds. They all just play a pc speaker beep.
Nagstamon is made in Python and Python uses Windows' own native sound mechanism to play sounds. There must be something wrong locally with your sound - there is no beep feature in Nagstamon. I cannot reproduce that.
Maybe send me a debug log of Nagstamon, there might be a hint, but at a first glance I do not know what this should be caused from.
Assuming a local problem. :-(