You can either mouse over the tray icon you get a small window dubbed "minimi" or to get that "minimi" view on screen permanently (while ffxp is running) double click on the ffxp status bar. This shows progress bars for current tranfer and files (2 transfer bars in total with relevant text"
"minimi" view
Sounds can be set in Preferences
F6 General > sound events > [x] enable sound events > and select sounds for each event.
No sounds are shipped by default with ffxp probably (it uses windows sounds) to get installer size to minimum. But you can download and or use your own from many places like,
http://www.acoustica.com/sounds.htm or use windows sound events in
And choose all sounds till your heart is content.
So both your requests have already been implemented a long time ago.
Current V5 beta test builds also implement a new program icon including new state tray icons for disconnected/idle connected/transferring etc. which are much clearer then existing v4 tray icons.