Play feedback when volume is changed via touch bar
Start by going to System Preferences > Sound > Sound Effects. 

Under the list of sound effects you should see two checkboxes, one labelled Play feedback when volume is changed. Check that box, and you should hear a feedback sound as the volume is changed. 

Any time you touch the volume up/down button or release on the slider you will hear the feedback sound.

This sound will be different from the one in System Preferences, sounding more like a 'tick'