I have the same problem except what happens is, when I launch Apple Mail the sound alerts work just fine but once my Mac goes to sleep and I log back in, the sound is now disabled unless I relaunch the app again. Quite annoying to have to constantly relaunch it every time my Mac goes to sleep.
Hope they fix this bug soon!
After trying many methods. I found this a temporary fix. The solution is to set a rule in Mail Preference to run an Applscripts if there is new email. This Applescript will play a notification sound of your choice:
tell application "Mail" to if (count of (every message of inbox whose read status is false)) isgreater than 0 then do shell script "afplay '/Applications/Mail.app/Contents/Resources/New Mail.aiff'"
You can change the path /Application/Mail.app/Contents/Resources/New Mail.aiff to any folder that containt an aiff file. For example: /System/Library/Sounds/Glass.aiff (in this folder you can find all the alert sounds of Mac OS)
1. Open Applescript Editor in Applications folder
2. Paste the script in after choosing your notification sound path
3. Save in ~/Library/Application Scripts/com.apple.mail (can name it New Mail in my example)
4. Now you can choose the script in Mail Rules setting
For the Mail rules setting
Open Mail Preferences then Rules then Add Rule. The setting like photo