Yes, Alexa can do this on Sonos, that’s if you have linked your calendar in the Amazon Alexa App using the same Amazon account credentials. See Alexa App "Settings/Calendar & E-Mail"

I did and sound not coming through and when I try to assign the speaker in the app it is not an option. What am I doing wrong?

It looks like calendar notifications can only be played through Echo devices or a Sonos speaker wired directly to an Echo device:

I’m sorry I don’t quite understand what you mean when you mention ‘assigning your speaker’… you can ask-for, or create, calendar events from any Alexa enabled device in your Household. Just add your chosen calendar to Alexa - I use my Apple ‘shared’ iCloud calendar for example.

Ah I see what you mean now @raualrgudin - I thought you meant asking-for & creating the entries in the Calendar. @GuitarSuperstar is correct only Amazon’s own echo devices will give notifications. Sorry for my misunderstanding here.

alexa will announce reminders to tho events. The announcements can only be heard from the dot and not the Beam. There is an option in alexa to assign which speaker to hear this and the sonos beam is not an option. 

Yes, our replies crossed - Sonos devices do not support every Amazon Alexa feature and unfortunately this seems to be one of them - the primary aim of the Sonos integration with voice services is the playback/control of the Sonos audio features. Maybe one day this feature ‘might’ be included on Sonos products, but neither company tend to announce their development roadmap, unfortunately, so we can only wait to see if this feature gets included at some later time.