Redefine "bell_msg" to include a literal "^G". (That is, the two characters _carat_ and _Capital-G_.)
From the `screen` manpage:
bell_msg [message]
When a bell character is sent to a background window,
screen displays a notification in the message line. The
notification message can be re-defined by this command.
Each occurrence of `%' in message is replaced by the num
ber of the window to which a bell has been sent, and each
occurrence of `^G' is replaced by the definition for bell
in your termcap (usually an audible bell).