The "Feature On Sound" and "Feature Off Sound", as configured in their respective dropdowns on the "Audio" tab of the VoiceAttack options window, should play when the listening state is changed.
Custom sounds (which will affect all feature toggles, just like the dropdowns do) for those can be placed in VoiceAttack's installation directory, named "sys_on.wav" and "sys_off.wav" (they do need to be WAVE-format files, not MP3 or anything else)
If you'd like to use text-to-speech, the simplest way would be to use a command to toggle the listening state, rather than the built-in "Joystick Button Recognition" option.
E.G.
Toggle VoiceAttack listening
Begin Text Compare : [{STATE_LISTENING}] Equals '1'
Say, 'Listening enabled'
Else
Say, 'Listening suspended'
End Condition