I've experienced this a number of times, mostly with 9X OS. In each case the sound files were written to C:\Program Files\Alwil Software\Avast4\English\ (check to see that they are there - see screenshot) but were not listed in the "Sounds" section of "Control Panel".
If you find that this is the case for you also, I would just browse & assign them manually. then save the scheme in case they get lost again.