It's by Design.
From MSFT Peter Torr:
"Are you saying that when the MessageBox appears, there is no
longer a sound played? If so, that's by design. The MessageBox
sound was annoying in most cases and was unable to be turned off (so even if you
had an app in "silent" mode, it would still play noise when the
MessageBox was shown). If you really want a sound to play when
the MessageBox is shown, you could use an XNA SoundEffect for
that purpose. "
http://forums.create.msdn.com/forums/t/86684.aspx