Installing esound fixed this problem and I found this solution in the Ubuntu forums. I still think it is a bug.
-- no exit sound in two Gutsy installs https://bugs.launchpad.net/bugs/188499 You received this bug notification because you are a member of Ubuntu Bugs, which is the bug contact for Ubuntu. -- ubuntu-bugs mailing list ubuntu-bugs@lists.ubuntu.com https://lists.ubuntu.com/mailman/listinfo/ubuntu-bugs