Since my eyes are usually glued to my reticle in combat (epic target fixation) or my sensors, while out-of-combat, I personally like to have an audible cue to let me know that there's some kind of dialogue going on. From a FRED'er's perspective, it's also marginally helpful for letting you know that dialogue is popping up when it should. It doesn't tell you that the right messages are popping up, but if you've been inserting events into/before chains that include send-message/send-message-list events, the interest will be more on whether or not the messages are still playing at all.
Also, I like to have a couple of different beep sound files in a campaign. That allows me to use one for one faction and one for another to help differentiate between speakers during a verbal exchange. It also breaks up the audio cues a bit so that you don't get a constant, annoying series of the same beep over and over again. It's a little touch.
Incidentally, protip: Send stealth fighters at me. You could give me five minutes warning with silent messages, and they'd still take me by absolute surprise. (Not that the element of surprise is really necessary to make me dead in FreeSpace.)