[CLIENT] I can't hear the message notification sound anymore when I'm clicked out of the client.

I have just discovered a bug with the client which basically makes it unable to give me a sound notification whenever I get a direct message from someone - if I am clicked OUT of the client, meaning that its not currently on screen in front of me. But if I am on the client (doing something on it), it does play a sound. So many times I miss messages as I don't hear that someone has messaged me. Is this on purpose or is it a known bug? Also I have SFX Volume enabled and its almost on maximum too.