No e-mail alert sound on iPhone

I have two e-mail accounts setup on my iPhone 4S; my iCloud e-mail and my work e-mail.

When I receive a new e-mail on my work account, the mail alert sound does not play. I receive the banner in the notification center and the badge app icon is visible, but I don't know that a message has arrived until I look at the phone.

I don't have this problem on my iCloud e-mail account. On that account the mail alert sound works as intended.

The only thing I can think of that might be causing this is the iCloud account is set to 'Push' and the work account is set to 'Fetch' because 'Push' is not an option. But I don't see where there are different alert settings for 'Push' vs. 'Fetch', so I'm kind of lost.

Any ideas?