I believe that 'ding' is the 'exit bug' that 'http://oblivion.nexusmods.com/mods/22410' fixes. While I used to use weOCPS, once I learned how to track down the errors it was masking I haven't needed it since.
-Dubious-
OCPS is actually recomended by the author of Fast Exit2.
The "ding" is, so far as I know, the internal windows sound for "oops, gonna crash now". I hear that sound if I crash-exit without OCPS running, otherwise I never hear a "ding".
I don't agree with Gekko64 that is corrupts your savegame either, I don't recall ever hearing that - I have heard it about some "multithreading" OBSE plugin, or whatever it did, which actually did nothing, except cause occasional bugs and crashes.