This is because Amazon have created two categories of Voice product: an Alexa device (i.e. Echo Dot); and an Alexa Enabled device (i.e. Fire TV & Sonos One) Amazon have restricted the functionality of Alexa Enabled devices, e.g. no drop in and a reduced set of skills/apps that can be initiated via Voice. 

Whilst I can understand, and indeed share some of, your frustrations, these limitations are defined by Amazon and I'm not aware of any 3rd party devices that aren't in the 'Alexa Enabled' category..

So I should just abandon hope and return this speaker?

It depends upon how much you want a smart multi room speaker vs a low quality smart voice control device.  Personally, I don’t think that you are comparing like for like devices but it’s up to you ultimately to decide what priority you place of which requirement.

It’s on my night stand.  I wanted a higher quality audio experience for a smart speaker, but not at the sacrifice of it not working properly.

Okay, that’s a decision that only you can make but I would disagree with your comment ‘...it not working properly.’ It is working as per the capabilities of an Alexa Enabled device, as defined by Amazon, but you have requirements that are over and above that standard.

Edit:

Have you tried asking Alexa to start Sleeping Sounds as a specific voice command?  Can you post a screen shot of your Routine actions?

It sounds like you’re splitting hairs on “enabled” vs. “compatible”.  I’m an end user, not a lawyer.  I don’t care, to be honest, so I’m returning the device and buying a 4th gen Echo for less than half the price.  Shame on me for not reading the bad reviews on here about this functionality before buying a device from a vendor I’ve trusted for so many years.

Please see my edit to my previous post and I’m sorry if I’ve annoyed you.  I suppose that I’m defending Sonos because the definition of ‘Alexa Enabled’ is not one that they have created, it is Amazon.  I am just an end user like yourself, with an extensive Smart Home system but perhaps with different requirement priorities to yourself.

Thanks for the edit.  I also have an extensive setup, and am a long time Sonos customer.  I just wish they’d have spent a bit more time noting these limitations up front, rather than just slapping an Alexa label on things and letting users assume that means something it doesn’t.  No harm, I’m within the return policy still.

Edit:

I’ve tried several different ways to get the routine to work.  When I was on the phone with someone in sales, she actually knew about this issue, and thought it’d been fixed last year.  That wasn’t the case, though.  In the end, I’m more interested in full Alexa features in this room, so I’ll trade “down” for an Echo.