OK, I tested. Seems to work as I expect it to:
I go to alt-b, select the [Notify] tab, ensure that [x] Enabled is checked, then [Add] a new notify or [Edit] an existing one...
At first the Sounds:Online button is blank. I click on it and get a browse window. I select a sound file, and press [Open]. The filename now appears on the button (1) If I now press the [>] (play) button, I hear the sound. Select 'OK'.
I connect to a server (/server <server_name>).
If I now do:
/server -m <server_name> -i <nick_on_notify_list>
(e.g. /server -m irc.undernet.org -i TestNick )
I hear the sound play when I connect(2), and see "* TestNick is on IRC" in my status window(3).
(1), (2), and (3) are the points you say you are not getting, or not always getting. Can you confirm that you are doing everything I am?
That your /splay works implies that alt-o Sounds [x] Enable Sounds is checked. (Can you confirm?)
Are you running any scripts - especially any that have on NOTIFY event handlers? Do you get the same behaviour with /!remote off ?