The only way I've found to disable the sound played along with the confirmation dialog that Dolphin plays when I delete a file was to split my screen with the audio volume settings and click on the mute icon next to Dolphin as fast as possible, since applications are only displayed when they are playing some sound. The Audio Volume Settings should also show recent applications besides the ones currently playing a sound, so that we can mute them easily even if they played only an one-second beep. Reproducible: Always
Well, I've finally found how to disable the system sounds. System settings -> Notifications -> Plasma Workspace.
The 5.7 update has added "Notification Sounds" to the volume settings. :)