Looking at Mono's implementation of System.Media, it seem it's only implemented for ALSA (one of the Linux sounds systems) and Windows. I suspect it's because System.Media is a very simple sound API that can't do very much, so is rarely used.
I can't think of any good platform agnostic sound player API, thought the GTK# UI toolkit (used by MonoDevelop) has a Display.Beep()
that AFAIK works on all platforms. If your app is a terminal app you might also try System.Console.Beep ()
.