If I'm not wrong PocketLoox 720 has Windows Mobile 2003 SE. In these systems as in PocketPC 2002 sounds for Events are by default disabled. Do the following.
Start->Settings->Sounds & Notifications->Enable sounds for, place a tick at "Events (warnings, system events)"
And now MessageBeep should work.
In devices you should not hear a different sound for every cMsgBox... constant.
But I guess I dissabled it myself.
For me it's annoying to have this klicksounds with almost every klickaction (starting an app., opening a menue, selecting a menu ...)
it's a pitty that the MessageBeep is related to the system events rather to the program notification. But of course - it's a hardware lib.