Find My app sent me an email saying "a sound was played" on my iPhone

That's a legitimate option when trying to find a lost device.

Use the Find My app to locate a missing device or item - Apple Support

Are you sure the email was really from Apple? Scammers will try anything.

Identifying legitimate emails from the App Store and iTunes Store - Identify legitimate emails from the App Store or iTunes Store - Apple Support

Recognize and avoid phishing messages, phony support calls, and other scams - Recognize and avoid phishing messages, phony support calls, and other scams - Apple Support

Apple 'How to identify, avoid, and report phishing' video--> https://youtu.be/SR3Z3fXXjfw

Well, Apple will never send a message like this, so the message was obviously a scam that was trying to trick you into providing personal information like your Apple ID and Password.

Never click or tap on a link in any communication like this and do not ever call the phone number that might be listed in the message.

Delete the email and watch for other scams. They are everywhere and some of them will look almost legitimate.