Why can’t you play a sound on the lost phone anymore?

That option is still available and works for me from an internet browser logged into icloud.com/find -- see item 2 in If your iPhone, iPad, or iPod touch is lost or stolen - Apple Support

and it is also available from the Find My app: Locate a lost or stolen device - Apple Support

That screen looks like it is for a Friend's device rather than one of your own -- or your own device set up under another Apple ID and then connect in Find My as a friend. See: Find friends and share your location with Find My - Apple Support

To help a friend find a lost device, see the following from Locate a lost or stolen device - Apple Support

You can help a friend find their device if it's missing and has Find My [device] turned on:

1. Open the Find My app.
2. Choose the Me tab.
3. Select Help a Friend.
4. Have your friend sign in to iCloud with the Apple ID they're signed in with on their missing device.