Some operating systems already have system-level user interface sounds as a preference (which is off by default)
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Mac OS 9 and OS X are two such operating systems. When this preference is turned on, a sound effect is played when a user clicks buttons, uses a scroll bar, navigates through the menu, or does similar operations. Since the default is to have this setting off, applications are silent.

An application that uses standard Mac UI elements, but displays sounds even when  the preference is turned off, is not respecting the user's desires.

You noted that video games often do have sound effects. One reason for this is that because they do not use Mac UI elements, so they can't take advantage of the system preference.