OK. There is something weird happening, I believe with System Preferences - Notifications - Mail, not Mail itself.
Out of curiosity I logged in to my wife's User account and was amazed to find that she has the option "Play sound for Notifications" for Mail, which I don't have.
I logged out of her account, logged back in and that option had dissapeared. It was identical to my Admin user account... no option to "Play sound for Notifications".
So, I bit the bullet and did a fresh install, again, this time using Recovery Mode. Still no change.
I created a new User Account called "Tester" and lo and behold these are the options I have in System Preferences - Notifications:
View attachment 1734611
Instead this my main, Admin account's options:
View attachment 1734612
How do I get that option to play sound, and why is it missing? 🤔