I believe this only comes with Parktronic option.
My car has PARKTRONIC and rear view camera however I do not have an option to turn the sensor beep off or on. FYI they only beep for me when you are within a very short distance say 12 inches of the obstruction. They solid beep when you are at the minimum distance. This goes for front and rear sensors. I believe parktronic is standard on UK/ European cars.
The OP said "the dealer told me I can turn on the sensor sound....."Hello guys, I just got a brand new spanking CLA250 white with the rear view camera camera, the dealer told me I can turn on the sensor sound if I get too near objects, where do I turn that on? I guess I haven't looked hard enough in the settings. Please help. Thanks in advance!