Hello DreDDG,
So to start you mentioned that you use a sound bar and not the TV speakers and aren't sure if that's the problem. If that's the case, that will be the first thing you'll want to isolate. Change the audio source to the TV speakers and see if the sound effects are working. If they are, then you'll know the issue is not with the Apple TV, and it's somewhere else in your TV/audio setup. If the sound effects also don't work through the TV speakers, then you'll know the source of the issue is the Apple TV.
Adjust video and audio settings on Apple TV
If the sound is not working when you use the TV speakers, then you'll want to confirm your settings. In Settings > Video & Audio, make sure both the Sound effects and music, and Navigation clicks options are turned on. If they are already turned on, try turning them both off for a few seconds then back on.
If the audio settings are all correct and it's still not working, you'll also want to make sure you have restarted the Apple TV and made sure the software is up to date.
Restart Apple TV
Update your Apple TV
Cheers!