Blender currently supports only callbacks for these events:
- frame_change_pre, frame_change_post
- render_pre, render_post
- render_stats
- load_pre, load_post
- save_pre, save_post
The simplest thing you could do is invoke the appropriate bake operator by a script (the python call is displayed when the mouse pointer is over the back button).
Create a python script e.g.:
bpy.ops.fluid.bake()
and add the code to play a sound from How to play a sound after script finishes?How to play a sound after script finishes?