You may want to run a repair of Outlook 2010, this usually corrects this issue. See http://www.thewindowsclub.com/how-to...-2010-programs

If that does not correct the issue you can create a rule to emulate the desktop alerts, I actually like this better as you can set custom alerts.

create a new rule
- Condition ==> "On this Computer Only"
- Action ==> "Display Alert" + "Play Sound"
- Exceptions ==> "None" (I mean none checked)
- Finalize ==> "Activiate this rule"
- END