One thing which might work...
I had this problem in Yosemite too and found that after I'd used Soundflowerbed to capture some audio into Audacity, the sounds in Mail returned. After I'd installed El Capitan the sounds in Mail disappeared again.
I opened Soundflowerbed.
Opened System Preferences and set the sound output device to Soundflowerbed.
Opened Audacity and recorded some audio from an online radio station.
Closed Audacity.
Closed Soundflowerbed.
Opened System Preferences and set the sound output device back to Internal speakers.
Waited for mail to arrive.
None did.
Put the iMac to sleep.
Forgot about it.
Started the iMac today.
Checked for mail, sound played on receipt of new mail. Yay!
Worth trying? Not all steps may be required?