It is not possible for the DialOut/EZ redirector to emit the sounds that the modems are making during the handshake at the beginning of a call.
A modem is able to emit modem sounds itself, but there is no mechanism that can relay the sound up to higher-level hardware.
When a modem is used by a redirector across a network, any sounds are available only at the modem's location and not at the computer running the redirector. The only information about the negotiation that the redirector receives is via the data interface to the modem, such as CONNECT, NO ANSWER, NO CARRIER, and NO DIALTONE.
These messages can be viewed in real-time in the Trace tab in the redirector's Port Monitor window.