Some years ago I used an old version of this program and there was sound when I copied. And it was without help of any triggers. I can't guarantee that this sound came from the ClipboardFusion, at least it sounded without delay, as the trigger does.
In Sound settings of Windows 11 there is no such option to assign sound to copy action. Why ClipboardFusion can't do it as many similar software?

You have to set a trigger on ctrl-C and in the trigger you can add a sound. Not to difficult. Otherwise look here: https://superuser.com/questions/1256347/beep-or-make-a-sound-upon-cut-copy-paste
In Windows there is in my opinion no option for producing a sound on ctrl-C. You could activate Sticky keys (Settings, Accessibility, Keyboard), on pressing the ctrl-key there is a sound (rather annoying)