The Chat tab decides how you're told about incoming messages — a desktop pop-up, a sound, or both. The first thing to know is that your browser has to allow it, and it asks per device.
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Switch it on — once per browser
The banner at the top turns desktop alerts on for this browser. The first time it offers Enable, which triggers your browser's own Allow / Block prompt — say Allow and this computer is set. Because the permission belongs to the browser, a laptop at home and a desktop at the office each need it once; if you ever pick Block, the switch won't stay on and the only way back is your browser's site settings. Send test then fires a sample so you can confirm one lands. Below sit two master switches that behave very differently: desktop is a system pop-up that reaches you even when the app is closed, while sound is a chime that can only play while you actually have the inbox open in a tab.
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Choose what alerts you, and how
Under the masters is a row per event — a new message, a new chat, a chat assigned to an agent or your team, a message on a chat that's already yours — each with a Desktop Nudge and a Sound box. Tick both for what you can't miss, sound alone for a quiet cue, neither for noise you'd rather ignore; the columns mean the same as the masters, so a sound-only row is one you'll hear at your desk but won't be pulled back for. At the foot, Notification Sound sets the chime — Default, Ding Ding, Ping or Buzz, each with a speaker to preview by ear. That's the in-app sound; the desktop pop-up uses your operating system's own tone. If sounds never play, your browser has probably paused audio until you interact with the page — click it once and it frees up.