On the Adobe website I have found the following but seems to no longer be the case?
Animate includes a Sounds library containing many useful sounds that can be used for effects. To open the Sounds library, choose Window > Common Libraries > Sounds. To import a sound from the Sounds library to your Animate file, drag the sound from the Sounds library to the Library panel of your Animate file.2 Apr 2019
Is there are sound library included? Can I import one from some other Adobe programme?
Here's the 'Sound Library' from Flash CS6. It's just a FLA with a bunch of sounds in its Library:
You can use any sounds in Animate as long as they are 44100 Hz and 16-bit, ideally PCM WAV. Just import them.
As for 'shared' Libraries files - these were just FLAs that you could put in a specific folder in config and access their Library easily while working in any document - I think that they dropped the feature with the introduction of cloud libraries.
Hope this helps!
Further to n__tilcheff's comment, if you have the All Apps plan then Audition comes with a bunch of royalty free sound effects you can use.