How do I enable the sound when changing volume?

Enable Play feedback when volume is changed in macOS System Settings > Sound. BetterDisplay follows this system preference when playing the volume-adjustment sound. There is no separate BetterDisplay switch to enable it.

For keyboard adjustments, the sound normally plays when you release the volume key, rather than throughout a held adjustment. Hold Shift without Option to reverse the sound preference for that adjustment: temporarily play it when the preference is off, or suppress it when the preference is on.

The system preference also applies when you adjust a volume slider in BetterDisplay’s app menu or interactive OSD. Slider feedback plays after the adjustment gesture. Scrolling an app-menu volume slider does not play the same drag feedback.

When a keyboard action adjusts just one display, BetterDisplay plays feedback through that display’s audio device if it can identify a single matching device. Check Matching audio device name or Associated audio device name under the display’s Volume Control… settings if the sound goes to an unexpected output. When no unique match is found, or the keys target multiple displays, feedback uses the current macOS output instead.

Volume adjustment and feedback playback are separate. A monitor accepting a volume command does not by itself mean that it is available as a Mac audio output for the sound. If the volume changes silently despite the preference, check that the intended output is available, unmuted and audible.

See Apple's Sound settings for the system preference, and Native audio keys for BetterDisplay's key handling. If the keys adjust the monitor after you switch to headphones, check when BetterDisplay takes over the volume keys.