Set me straight!

Yes, that's what I thought. Continuity sound, no continuity no sound.
You will only get the sound when a switch is true or closed. You also have to be probing the terminals that actually have a contact common to them. You also have to be ware of switches that may be normally open or normally closed. You can also use the same function to ensure your ground is good. A good ground would typically give you the same needle deflection as a closed switch.