Did some more digging. It seems the snd-hda-intel driver doesn't support the PC Speaker. Can't find any explanation, just lots of unhappy weird people that want to hear the beep.
Well, you're not the only 'weird' person. I've always turned on the kernel pcspkr support, or loaded the module if not compiled-in, since beeps can be very handy without having to bother with making sure the system sound amp is on and turned up.
You are right in that laptops often don't bother wtih the piezo-beeper common on most motherboards but rather use the sound chipset instead. On my old IBM ThinkPad 600, the beep volume is controlled by a function key sequence which acts like a 'hardware master' level control. I set that for comfortable beeps since there is no seperate 'pcspeaker' mixer control, and use the mixer to set other source levels.
And sure enough, if I unload the module, I can get that loud beep coming right out of my main speakers. Naturally this means I have no regular sound though. It's a no brainer. I need regular sound. So I'll go another route.
If you leave off the piezo driver module, the sound mixer's 'pcspeaker' volume control *should* adjust the relative volume of the speaker beeps along with the rest of the mixer inputs. If not, it sounds like the sound chip driver is broken. You might look at kernel source for it, and maybe ping the driver's author.