On the System Preferences > Accessibility > Voice Control panel, select Play sound when command is recognized. Set your volume in the Sound preference pane, but neither the selection of alert sound nor selecting Play user interface sound effects will have any bearing on the sound emitted by Dictation when it recognizes your command. It has its own unique "whiz" sound.
On that Accessibility > Voice Control panel, there is a button named Commands… Click that and in the list of commands, you will come across the unselected phrase Turn off Voice Control. That is really the only way to stop Dictation, so select that, and then the Done button on that panel. You may find that this setting does not remain set though.