If you use banner in a UI rule, the banner will appear on the client machine. If you use in a DB rule, it appears on the machine you specify in the host field of the exec command action. There must be an agent running on the machine you specify.
As far as I know, any delay is not likely to be the result of any time differences.
The message "machine switched off" means that the SD server cannot communicate with the agent on the box you have specified.
check the agent is running and using the port you expect (netstat -an).
To configure sound, each user can go to Tools>Options>Sounds and specify the sound you want for each event and then go to the Advanced tab and click the "sounds" box.