Hi, the easiest way to achieve this on Windows (11 tested) is by disabling the Windows app sound for the Check Point VPN client. You can find this setting in the tray after scrolling.


Or, if you prefer, you can do it in the extended Sound > Volume mixer settings.

Also, if you want to disable the notification sounds too:

you may do this through the Notifications settings:

It looks like that although the app sound icon disappears after the client has been shut down, the setting is remembered for the next time you start it. If it survives changes in Windows, it should also survive the VPN client updates.
I hope this helps.