I'm using "Skype for Business (Lync)" at work for communications.
I went to its "Ringtones and Sounds" options page, which has a button labelled "Sound Settings". I go there, and set a new sound for "Incoming IM" under "Lync".
Despite having my new sound selected, and it playing properly when I click "Test", when new messages come in, it plays the default sound.


New Message, try changing the sound for that too. – MC10 Aug 24 '15 at 20:18