Pandoris,
“Mute all sounds” not checked.
On that same window, if I expand any of the messenger sounds, I have the same two choices:
For example, under Contacts Sign In, I get “Don’t Play a Sound” and “Default.” The latter is checked, and there is an arrow to play sound. When you click arrow, nothing happens.
All of the alerts on that page have the same two options, with “Default” checked.