In case somebody else runs into the same trouble I did:
If you want to see some customs sounds in the Main UI rules list for “play sound”, you have to add them to
/opt/openhab/conf/sounds
If you run oh in docker you will see on your sonos client that sonos could not connect to 172.17.0.1 or something like that. That happens because you did not set the callback URL in the sonos binding.
If you set that callback URL to https://IPofYOURopenhab:httpsPort, then it will fail to connect as well, I guess because of certificate issues, so you have to use http not https and point it to your http port.
With that, play sound from a Main UI rule works for me.