My 2017 SVR does not make any sound when locked with the remote key. Is this an option somewhere I have not found?

 

My 2015 R doesn't make a beep sound on first press of lock with the remote. Press lock a second time and it will beep the horn.

 

I think the beeps are market-dependent, too.

 

For 2015 through 2018 models of F-XE and XF (...so perhaps the F-Type also), getting an audible "beep" confirmation when you used the remote was set up from the TFT (the menu you see between the two dials on your instrument cluster---NOT the infotainment screen menus).

Somewhere in "Vehicle Features", then "Security", you could drill down and find "audible confirm" or something similar to these wordages.
But I believe 355Rocket's experience applies to our XE's too. Jaguar at the time was biased AGAINST making a whole lot of horn and beeper sounds when you're just entering or leaving your car---they kind of downplayed that on fancy cars around those years.
Your remote, like 355Rocket's may still only get a horn/beep when you double-press (double-lock) your button. (First press locks your car SILENTLY---the beep on the second press is your car's way of saying "stop that---I'm already locked!"). LOL,

 

My MY2015 F-Type has that setting, I turned it off years ago.

 

In the UK that beep is telling you the car has been deadlocked so doors cannot be opened from inside the vehicle, and the full alarm system is activated (single locking only activates the perimetric alarm and prevents doors being opened from outside), so movement inside the car, battery disconnect, vehicle raised or tilted, or glass broken will trigger the alarm. I believe that in some markets a single press will activate the full alarm system.