normally, it does make a different noise when in check. It is likely a technical issue. Check your speakers and volume level. If that doesn't work, contact staff and include your issue, OS(operating system, which includes windows, mac, linux, etc.), browser(safari, firefox, chrome), and browser version. Also, pay attenton. It may just be you. :)
Sound Notification when in check

In fact you don't need to say check, and in a real OTB tournament, you shouldn't. I mean if your opponent doesn't notice he's in check and makes an illegal move (let's say he moves a rook) you can call the judge and explaining the whole situation, so your opponent now has to use his rook to move out of check if possible of course (because he already touched it) and maybe giving you a nice time advantage or a even free piece.

Thanks for the responses. But I have to disagree with Kaynight. There are times when an opponent puts you in check by moving a pawn and by doing so, let's say a bishop know puts you in check. When playing Blitz chess, someone like myself does not see these checks which many advanced players like you must be see immediately. My Blitz rating was 900 until a few losses today and my standard rating is 1200 for 30 minute games. Maybe I should stay away from Blitz, at least the 3 minute games and only play 10 minute games. And Mathew Alexander, I usualy stream classical music when playing chess so maybe the slightly different noise it makes I don't notice because of music. Next game I play I will turn off music and if the sound is not different, I will take your suggestion and contact support.
THanks everyone for taking time to respond. Greatly appreciated

Of course. Go to pandora.com It's free if you can deal with a very few limited advertisements. Plus, during the time you are streaming music, they will give you the option for 4 hours of uninterupted music by watching a 30 second sponsored video advertisement. As for the music to stream, I always go with instrumentel music regardless of the genre I am listening to. Vocals seem to distract me when playing chess. If you like classical, there are stations dedicated for every classical composer. Personally, my favorite composer is JS Bach. In my humble opinion, he is the IM of classical music. I also like listening to meditaion music which is very calming like ocean sounds. You can also search for "spa" music stations which is very similiar to meditation music meaning very calming and easy on the ears. Once you start streaming music, I can almost guarantee, you will never again play chess without music. I recently tried a new approach and played a trance music station, you know the techno, rave club music. I actually won three games in a row listening to that station. It's all what you like. Send me a message after you try it and let me know what you think. I will start a post about this because I am sure many online chess players would love to stream free music in the background while playing a game. I tried playing a chess game without music and it was so much less enjoyable for me. But again, it's all personal preference and some folks do not want any distractions. Enjoy my friend.
Many games I am thinking of my next move not realizing I was in check the entire time. When you play a person in a live setting, you say check. Is there a way to turn on a sound notification so you know when you are in check? I can't seem to find it in settings.
Thanks