SM most definitely has the ability to play a sound. It requires the device to be put into lost mode first in the dashboard and then you get the option to play a sound and find a current location, just as you would with Find my iPhone.
I have used this feature many, many times to help a forgetful student located their iPad.
@Justfixit just remember that by default Apple has location services turned off.
Being able to turn this on remotely is something the business ad education sector having been asking for for years given most of the time they own said devices so they should have a right to know where they are.
As mentioned SM can do what you are wanting.
Meraki CMNO, Ruckus WISE, Sonicwall CSSA, Allied Telesis CASE & CAI