Hi Sid, and welcome to GSC!
The "sound" Stainz that has been included in most LGB starter sets in recent years has a very simple sound unit (fitted, with its speaker, into the roof of the cab - you should see a shallow round moulding inside the roof that has "sound holes" for the downward-facing speaker) that only produces a basic chuffing noise. So I'm afraid that is all you are going to get from that particular model, whatever control system you use it with.
However, LGB (well, Maerklin as the parent of LGB now) has recently announced, in the latest LGB Depesche magazine, that in future it will be fitting its new type MFX decoder (which is a full sound decoder, designed for their proprietary MFX control system, but also useable on DCC and analogue layouts) to ALL new locos, so we may at last see a Stainz direct from the factory with full sound capabilities rather than just the "chuff module"; I think we can expect to pay a bit more than standard current Stainz prices for them once that happens, though!
If you want to add "full" sound to your new Stainz, you can buy a Massoth "S" sound module which is easy to install and works on analogue DC power as well as on DCC, but that will set you back £100+......
Jon.