I thought you did get a pinging sound when a person first sends you a pm - it just doesn't happen for their successive messages. You can check the options menu (F11 in game) and see if it can be changed to full time, but I don't think you can change it.
There is ping when you first receive a PM (whisper), but maybe you just can't hear it.
Go to Options and click the Sound tab. The ping comes under "UI volume", and if you turn that up, relative to the others, then you can hear the ping better.
When/if you are receiving and sending whispers in Kamadan, it can be helpful to turn All and Trade chat off (temporarily at least) so that only the whispers appear in the chat window and they don't scroll up so quickly.