So, here is what Daniel said on the Sib site. I will try it in a moment. I would never have figured this one out on my own, so perhaps this info will also help some others out there.
"On Mac, the default sound sets are built into the application. You can
find them by right-clicking (or Control-clicking) on the Sibelius 5
application icon, choosing Show Package Contents, then going into
Contents/Components/Sounds.
I suggest you make a copy of the VSL sound set to avoid changing the one
in the package: put yours in the location you originally looked for it,
and Sibelius will thenceforth use your copy in preference to the one
included inside the application package."