This option will be avalible soon. You could change the alarm volume level from 0 (no alarm sound only notifications) to the maximum. Right now it's maximum only.
System Preferences -> Desktop & Screen Saver -> Message -> Screen Saver Options...
You can use emoji as well. Example:
⚠️ Warning: This laptop is protected by 🚨 MacBook Alarm™. Do not close lid or disconnect cable.