Should I upgrade the hub, cassette or wheel so my bike will make a sound when I don't pedal?
It's the freehub rachet mechanism in the hub that makes a rapid repeated clicking sound when you stop pedaling. The cassette is not involved as it slides on the splined freehub body and has no moving parts. (Older technology freewheels combined the sprockets and rachet mechanism on on unit though.)

Silent or quieter hubs are usually considered an upgrade. If you really want a noisy hub you can but a replacement hub and have the wheel rebuilt. Wheel rebuilds almost always require new spokes and take a couple hours of labor so it's very often more cost effective to simply buy a new wheel.