Messages.app (Mac) does not play sound when message received Why does Messages.app on my Mac (Yosemite) fail to play a sound when a message is received?

On my Mac, I'm hearing sound from other apps. I hear a sound when I drag the "Output volume" in System Preferences > Sound > Output.

I hear the ding sound when messages simultaneously arrive on my iPhone and iPad.

In Messages > Preferences > General > Message received sound I have the popup set to "Note (Default)". Changing that popup does not help.

In System Preferences > Notifications > Messages > Play sound for notifications is checked. Unchecking and rechecking does not help.

The only odd thing, the only clue, is that in System Preferences > Notifications > Messages I found the Messages alert style icons had "None" selected but nonetheless have been seeing the Alerts style notifications appear upon new messages. Perhaps there is some kind of settings file not being updated, and needs to be trashed?
I had the same problem and I found that in System Preferences> Sound> Sound Effects:  The "Alert volume" was set at zero.  Adjusting it up solved my problem.