Ooh, you've done your homework. Yes, it should beep, make sure that the case speaker is connected to the motherboard. Otherwise, the mobo has no way to make any sounds (as far as I know).
Phrantic had the exact same problem, here is his thread
on [H]ardForums. The second post has a lot of useful info, but basically what I just told you.
I'm wondering if this is going to be a rather annoying problem. Because in overclocking, you reset the BIOS a lot of times, and you would need to use the same technique before you could do anything else. That could get tedious, I would imagine. I'm reconsidering what I think about the P5B-E at this point.