Sorry for my ignorance, but isn't this more general than playing a sound. Presumably, you want to update the wallet balance from time to time anyway. Don't you have the same address pinging privacy problem no matter whether or not you play a jingle? I don't understand the connection to the audio file.
I'm not sure the Mycelium app updates the balance automatically. I often have to hit the refresh icon to see changes, but that could be because my Internet connection has a high latency, idk.
I think that due to security reasons, external application (different from Mycelium) should be used for address watching and making beeps. Do not know if such application exists, but it should not be difficult to make.
Can Mycelium export list of HD addresses (even old ones, even future ones) for "watch-only" in some CSV-like format?
The post by Rassah just above (quoted below for convenience) suggests a privacy issue, not a security one. I thought SPV clients already had a way to request some superset of transactions they're actually interested in to protect privacy (though clearly not as well as a full node requesting every transaction).
We keep getting asked this, and we keep having to explain that this is terrible for privacy. The only way a wallet can know that you have received coins is to constantly keep asking a node for an address babalce. Whoever runs that more then knows that that's your address. And with HD you would be pinging multiple addresses, so the node will know they all belong to you, and will be able to piece together your entire transaction history.