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From my experience, the BELL character doesn't really work in cmd. An alternative is to execute rundll32 user32.dll,MessageBeep to do the same thing.
Pretty much nothing works in cmd. I would recommend using https://github.com/microsoft/terminal instead. If BELL doesn't work there, open an issue there, and it will probably be fixed there at some point. I'm not interested in adding a workaround. Lately, I've spent way too much time adding/reviewing Windows workarounds.
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