The thump is normal. I'm not sure what the reason for it is--maybe a warning to get out of the car immediately because you're about to be blasted by noise--but it just does that.
My car is too old to have external speakers, so I can't speak to whether sound normally comes out of them with the light show. It would make sense that it would, but maybe the light show app was written to the lowest common denominator, which means no external speakers.