In Settings, Ease of Access, Keyboard Pane, there are two checkboxes associated with Sticky Keys, the first of which relates to getting or not getting the prompt you describe and the second of which relates to the on/off toggle tone.
But, these are not in the Sticky Keys cluster itself, but in a category at the end of the pane, Make it easier to type. Screen reader searching on Sticky Keys should eventually land you on it.
Brian - Windows 10 Pro, 64-Bit, Version 1909, Build 18363
Power is being told you're not loved and not being destroyed by it.