Yes, MessageBeep() is implemented in ADS builds. However, the corresponding audio files may not be included in the build you have.
You might try one or more of the following:
Place one or more WAV files in the Windows folder of your device and associate them with the Default Sound, Critical Stop, etc.
For testing, you can try this test application(zip: compiled eVC with source), which cycles through all the available MessageBeep()sounds. Here(zip) are a few more Windows WAV files for testing.
For further reading about Windows CE audio, please see the CE Audio topic index.
----------------------- Drew Kidder ADS Technology Transfer