I have two POP accounts. No MAIL sounds.
But when I did the update to 10.11, and later 10.11.1, I noticed that Apple duplicated those two accounts as IMAP accounts.
I switched over to the IMAP accounts, and deactivated the POP accounts, and was immediately notified that it could not connect securely.
But I sent myself an email anyway--whooosh--and then "Mail Truck!" (my sound) announced the arrival. OK so far.
I tried to delete that email, and a popup said it could not delete it, because the (null)TRASH did not exist.
So I reactivated the POP accounts, and deactivated the IMAP accounts, and back to full functioning, but, as before, no arrival sounds.
Hope Apple fixes this for using POP accounts..