After a little more poking around, it appears that the sound being generated is 'Device disconnect' coming from the Guest. (I changed the sound associated with Windows 'Device disconnect' in the Guest and that is the sound I now hear).
Using the Guest under Workstation 11 or 12 (configured as Hardware 8), I do not hear the sound.
Upgrading the Guest hardware version to 12 and now I hear the device disconnect sound when Switching between full-screen and Windowed. It's a disconnect sound for both directions.
I'm not sure what's being disconnected, but at least I'm getting more info.
P.S.: The same sound also occurs if I just resize the Window on the Desktop when in Windowed mode. So, this
appears related to the Display size changing in general.